CIRCULAR
HO/47/11/11(3)2025-MRD-POD2/I/2765/2026 January 16, 2026
To,
All recognised Stock Exchanges
All recognised Clearing Corporations
Dear Sir/ Madam,
Subject: Introduction of Closing Auction Session (CAS) in the Equity Cash
Segment and certain modifications in the Pre-Open Auction Session
1. Currently, the closing price of stocks in the equity cash segment of the Stock
Exchanges is determined on the basis of the Volume Weighted Average Price
(VWAP) of trades executed during the last thirty minutes of the Continuous Trading
Session (CTS).
2. Globally, in major jurisdictions the closing price of stocks is determined based on
CAS, considering the following:
2.1. CAS aggregates market interest into a single pool of liquidity, thereby
providing a fair and transparent closing price and improving the efficiency
of execution for large orders.
2.2. The significance of a fair and transparent closing price, especially since it
is used as the reference for settlement in derivatives, index computation,
mutual fund net asset value (NAV) determination, etc.
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2.3. Provides equal and transparent access to all categories of investors,
ensuring that the discovered closing price reflects the collective market
consensus at the close of trading hours.
2.4. Facilitates passive funds to transact at the closing price of the stocks
thereby reducing the tracking error.
3. Considering the above and taking into account public comments received on
consultation papers dated December 05, 2024 and August 22, 2025, deliberations
in the Secondary Market Advisory Committee of SEBI and subsequent feedback
received from various stakeholders including the Stock Exchanges, Clearing
Corporations, Mutual Funds and FPIs, it is decided to introduce CAS in the equity
cash segment of the Stock Exchanges.
4. The framework of CAS is given as under:
4.1. Applicability of CAS:
4.1.1. CAS shall be made applicable in a phased manner. Initially, the
closing price of stocks in the cash segment on which derivative
contracts are available shall be determined based on CAS.
4.1.2. The closing price for the remaining securities in the cash segment
shall continue to be determined based on VWAP of the trades
executed during the last 30 minutes of the CTS in the cash segment.
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4.2. Timings of CAS:
4.2.1. CAS shall be implemented as a separate session of 20 minutes from
3:15 pm to 3:35 pm on all trading days, as under:
Session Particulars Start Time Duration
Reference price calculation / Transition
1 3:15 p.m. 5 mins
from CTS to CAS
Order entry period - for both limit and
2 3:20 p.m. 5 mins
market orders
Order entry period only for limit orders,
No modification/ cancellation for market
3 3:25 p.m. 5 mins
orders,
Random Close in the last 2 minutes
4 Order matching 3:30 p.m. 5 mins
4.2.2. The order entry session shall close randomly anytime between 3:28
p.m. to 3:30 p.m. Such random closure shall be system driven.
4.2.3. The equity derivatives segment shall continue to operate up to 3:40
p.m. on all trading days.
4.2.4. The post close session in the cash segment shall operate between
3:50 p.m. to 4:00 p.m., where trades shall be executed at the closing
price of stocks.
4.2.5. The closing price of stocks in the cash segment for trading in any
special trading sessions of the Stock Exchanges shall also be
determined based on CAS. The duration of CAS in such special
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trading sessions shall also be equal to the duration of CAS as
specified in para 4.2.1 above. The derivative segment on such
special trading days shall be closed after 10 minutes from the close
of the order entry period in CAS. A 10 minutes post close session on
such special trading days shall begin 10 minutes after the close of
the derivatives segment.
4.3. Reference Price for CAS:
4.3.1. The reference price of a stock in CAS in the cash segment shall be
determined based on the VWAP of the trades executed in the stock
during the period 3:00 p.m. to 3:15 p.m.
4.3.2. In case no trade is executed in a stock in the cash segment during
the period 3:00 p.m. to 3:15 p.m., 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 adjustable closing price or the base price.
4.4. Applicable price band:
4.4.1. Price band applicable during CAS shall be +/- 3% from the reference
price of the stock.
4.4.2. The price band of stock futures during the period from 3:15 p.m. to
3:40 p.m. shall be in alignment with the price band applicable during
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CAS. Accordingly, the existing framework for dynamic flexing of price
bands for stock futures, as specified at para 2.5.3 of Chapter 1 of
Master Circular for Stock Exchanges and Clearing Corporations
(SECC) dated December 30, 2024, shall not be applicable during the
period from 3:15 p.m. to 3:40 p.m., and shall be applicable in the
respective duration in the CTS.
4.4.3. The Stock Exchanges, within 30 days from the date of the circular,
shall jointly formulate a Standard Operating Procedure (SOP), in
consultation with SEBI, to ensure alignment of the price band of
stock futures with the price band applicable during CAS.
4.5. Types of orders allowed in CAS:
4.5.1. Only limit orders and market orders shall be allowed and both shall
be reckoned for computation of equilibrium price.
4.5.2. Iceberg orders shall not be allowed, i.e., orders shall be disclosed in
full quantity.
4.5.3. Stop loss orders shall not be allowed.
4.6. Equilibrium Price Mechanism:
4.6.1. The closing price in CAS shall be determined based on the
equilibrium price mechanism.
4.6.2. The equilibrium price shall be the price at which the maximum
volume is executable.
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4.6.3. In case more than one price meets the criteria as stated in para 4.6.2,
the equilibrium price shall be the price at which there is minimum
unmatched order quantity in terms of absolute value.
4.6.4. In case more than one price has same minimum unmatched order
quantity, the equilibrium price shall be the price closest to the
reference price.
4.6.5. In case the reference price is the mid-value of the pair of prices as
mentioned in para 4.6.4 above, then the reference price itself shall
be the closing price.
4.6.6. In case no equilibrium price is discovered, then reference price itself
shall be the closing price.
4.7. Order execution priority in CAS:
4.7.1. Market orders shall be given priority over limit orders. The sequence
for order execution shall be as under:
4.7.1.1. Eligible market orders shall be matched with eligible
market orders in the order of time priority at the
equilibrium price.
4.7.1.2. Residual eligible market orders, in the order of time
priority, shall be matched with limit orders in the order of
price time priority.
4.7.1.3. Remaining limit orders shall be matched with limit orders
in the order of price time priority.
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4.8. Unexecuted limit orders of the CTS:
4.8.1. All unexecuted limit orders of the CTS shall be carried forward to
CAS, except the following:
4.8.1.1. Stop loss orders
4.8.1.2. Iceberg orders
4.8.1.3. Orders having prices beyond the price bands applicable
in CAS.
4.8.2. The limit orders carried over from the CTS to CAS shall have a higher
time priority than limit orders placed during CAS.
4.8.3. The limit orders carried over from the CTS to CAS can be modified,
however, time priority after the modification shall be changed.
4.9. Calculation of settlement prices by Clearing Corporations (CCs) for
stock derivatives and index derivatives:
4.9.1. Since, the methodology for computation of the closing price for
stocks shall undergo a change, para 1.1.9 and para 3.1.2.7 of
Chapter 5 of the Master Circular for Stock Exchanges and Clearing
Corporations (SECC) dated December 30, 2024, shall be modified
as follows:
“1.1.9. The settlement price shall be the closing price of the
underlying index on the day of expiry. The closing price of the
underlying index shall be based on the closing price of the
constituents of the underlying index”.
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“3.1.2.7. ……….. The stock exchanges shall settle the derivative
contracts at a price calculated by the CCs based on volume-
weighted average of the closing prices of the stock in the cash
segment across all Stock Exchanges”.
4.9.2. The Stock Exchanges/ CCs shall jointly formulate a SOP, in
consultation with SEBI, for determining the closing/ settlement prices
for the stock derivatives and index derivatives, within 30 days from
the circular.
4.10. The current risk management system for cash market shall be applicable
during CAS.
4.11. 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.
4.12. The following information shall be disseminated during CAS:
4.12.1. Indicative equilibrium price of the stock
4.12.2. Indicative cumulative buy and sell quantity of the stock
4.12.3. Indicative imbalance quantity of the stock at equilibrium price
4.12.4. Indicative imbalance quantity based on market orders of the stock
4.12.5. Indicative Index
Stock Exchanges may disseminate additional relevant information, if any,
at their discretion.
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5. Alignment of the Pre-Open Auction Session framework with CAS in the cash
segment and the derivative segment:
5.1. To ensure alignment of the pre-open auction session with CAS, the relevant
paragraphs with respect to ‘Framework for the Call Auction in the Pre-Open
Session’ as specified under para 17.1 of Chapter 1 of the Master Circular
for Stock Exchanges and Clearing Corporations (SECC) dated December
30, 2024, shall stand modified as under:
“17.1.2: The pre-open session shall be for a period of 15 minutes from 9:00
a.m. to 9:15 a.m. The timings along with the sessions during the pre-open
session is given below:
Start
Session Particulars Duration
Time
Order entry period for both limit and
1 9:00 a.m. 5 mins
market orders
Order entry period only for limit orders,
No modification/ cancellation allowed for
2 9:05 a.m. 5 mins
market orders,
Random close in the last 2 minutes
3 Order matching 9:10 a.m. 2 mins
Transition of orders from pre-open
4 9:12 a.m. 3 mins
session to CTS
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17.1.3: The session shall close randomly during last 2 minutes of order
entry period, i.e., anytime between 9:08 a.m. to 9:10 a.m. Such random
closure shall be system driven.
17.1.4: Limit orders and market orders shall be entered during the pre-open
session and both shall be reckoned for computation of equilibrium price. No
iceberg order shall be allowed, i.e., orders shall be disclosed in full quantity.
Further, no stop loss orders shall be allowed.
17.1.9. Market orders to be given priority over limit orders for execution in
the pre-open session, as specified below:
17.1.9.1. Eligible market orders shall be matched with eligible market
orders in the order of time priority at the final equilibrium price.
17.1.9.2. Residual eligible market orders, in the order of time priority,
shall be matched with limit orders in the order of price time priority.
17.1.9.3. Remaining limit orders shall be matched with limit orders in
the order of price time priority.
17.1.14. The following information shall be disseminated during pre-
open session:
17.1.14.1. Indicative equilibrium price of the stock
17.1.14.2. Indicative cumulative buy and sell quantity of the stock
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17.1.14.3. Indicative imbalance quantity of the stock at equilibrium
price
17.1.14.4. Indicative imbalance quantity based on market orders of
the stock
17.1.14.5. Indicative Index
Stock Exchanges may disseminate additional relevant information, if
any, at their discretion.”
6. Implementation timeline:
6.1. The framework for CAS outlined at para 4 shall be implemented in the cash
segment from August 03, 2026.
6.2. The changes in Pre-Open Auction Session framework outlined at para 5,
shall be implemented from September 07, 2026.
6.3. Stock Exchanges/ CCs shall jointly formulate SOPs in terms of para 4.4.3
and 4.9.2 in consultation with SEBI within 30 days from the date of the
circular.
7. The Stock Exchanges shall build necessary systems to strengthen market
surveillance for CAS and for the period of determination of the reference price for
CAS. Stock Exchanges shall monitor trading activity from the perspective of market
integrity/surveillance concerns and take appropriate measures.
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8. The Stock Exchanges and CCs shall issue necessary guidelines and put in place
the systems to ensure the timely and smooth operationalization of the above
frameworks.
9. The Stock Exchanges and CCs are advised to:
9.1. Make necessary amendments to the relevant bye-laws, rules and
regulations for the implementation of the above decision, as may be
applicable.
9.2. Bring the provisions of this circular to the notice of the market participants
and to disseminate the same on their website.
10. This circular is being issued in exercise of powers conferred under Section 11 (1)
of the Securities and Exchange Board of India Act, 1992, read with Regulation 51
of the Securities Contracts (Regulation) (Stock Exchanges and Clearing
Corporations) Regulations, 2018 to protect the interests of investors in securities
and to promote the development of, and to regulate the securities market.
11. This circular is available on SEBI website at www.sebi.gov.in at “Legal
→Circulars”.
Yours faithfully,
Sanjay Singh Bhati
Deputy General Manager
Market Regulation Department
Email: ssbhati@sebi.gov.in
Phone Number: 022-26449222
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