Periodic call auction session for illiquid scrips will be introduced for trading on Stock Exchanges of India from 08 Apr 2013. This will help to reduce volatility and find better price for the scrips which are not very liquid for trading in continuous trading hours. Based on Jan 2013 – Mar 2013 trading data, a total of 2050 scrips are classified as illiquid scrips. This list will be reviewed quarterly.
periodic call auction sessions :
A total of 6 sessions will be held during market hours. Each session will have a duration of 1 hour. First session starts at 09:30 hours and last session ends at 15:30 hours with normal market hours.
Time Starts From
|09:30 am||10:30 am|
|10:30 am||11:30 am|
|11:30 am||12:30 pm|
|12:30 pm||1:30 pm|
|1:30 pm||2:30 pm|
|2:30 pm||3:30 pm|
Each session of 1 hour is divided into two periods.
1st period is known as order entry period which shall be for 45 minutes duration (This period randomly closes between 44 and 45th minute and is system driven). During this period orders can be placed, modified or cancelled.
Second period starts from 46th minute in which order matching takes places based on the orders entered in first 45 minutes. This order matching and trade confirmation period is for 8 minutes and remaining 7 minutes is buffer period for smooth transit from one periodic call auction session to another. During this period orders are matched and trade confirmations are sent. NO orders can be placed / modified / cancelled during this period. All unmatched orders during each periodic call auction session for illiquid scrips are purged from system. Trading in these scrips will not be available in continuous trading session and post market close session.
While Limit, Market, Odd Lot, Institutional orders are allowed during periodic call auction session, NO stop loss orders and basket orders are allowed.
Maximum price band shall be 20% for all the scrips in this segment throughout the day, which exchanges may reduce uniformly depending on surveillance actions.
As per SEBI circular no. CIR/MRD/DP/6/2013 of February 14, 2013 a scrip in the exchange is classified as Illiquid, if
1) Daily average trading volume is less than 10,000 during a quarter (For the introduction period the Jan 2013 – Mar 2013 Quarter is considered)
2) Daily Average Number of trades are less 50 in a quarter and
3) The scrip should be classified as illiquid in all the stock exchanges where it is available for trading.
Each scrip is eligible to move out from periodic call auction session only after it continues to trade in that for atleast two quarters and is not classified as illiquid as per above conditions.
If the maximum buy price entered by a client based on PAN No of the client is equal to higher than maximum sell price entered by same client a penalty will be levied (Penalty is applicable only if such orders results into trades). Penalty in such cases shall be on daily basis and will be higher of 1% of trade value (0.5% for buy value and 0.5% for sell value) OR 5000 rupees (2500 rupees for buy trade and 2500 rupees for sell trade). One must be cautious of placing such orders as minimum penalty will be 5000 rupees for each such instance in a day.
Also read Pre Opening Session of Markets to know how price and volume information is disseminated during auction period. Pre opening session is an auction based trading session to determine opening price of stocks which are part of indices (Sensex and Nifty).