*SEBI asks bourses to experiment call auction * **
** ** *New mode of trade to happen in pre-open session. * Our Bureau Mumbai, July 15 SEBI has decided to introduce call auction in pre-open session on an experimental basis in Sensex and Nifty stocks. The pre-open session shall be for a 15 minute duration between 9 and 9:15 a.m. These 15 minutes have been divided into three distinct activities. The first eight minutes shall be used up for order entry, order modification and order cancellation. The next four minutes would be used for order matching and trade confirmation. The last three minutes would act as a buffer period for smooth transition from the pre-open session to normal market. Price factors With this the normal market hours would now commence from 9:15 a.m. instead of 9 a.m. The session close would be randomly done during the last minute of order entry that is anytime between 7th and 8th minute and would be system driven. During the call auction iceberg orders have been forbidden by the regulator. For computation of equilibrium price, only limit and market orders would be allowed within a price band of 20 per cent. The price at which the maximum volume is executable shall be deemed as the equilibrium price. In case more than one price satisfies the aforesaid condition, the price with a lower absolute value of unmatched order quantity would be applicable. If both the prices and the unmatched order quantities conditions are satisfied then the price which is closer to the previous day's close would be considered. In case the previous day's closing price is the average of a pair of prices which are closest to it, then the previous day's closing price shall be taken as the equilibrium price. For cases of corporate action, the previous day's closing price shall be the adjustable closing price and or the base price. The regulator has also advised the following sequence for order matching. Eligible limit orders shall be matched with eligible limit orders while the residual eligible limit orders shall be matched with market orders. Market orders shall be matched only with market orders. All pending unmatched orders in pre-open session would be shifted to the order book of the normal market following time priority. Unmatched market orders will shift to the normal market order book as limit orders at a price as discovered in the pre-open session. Risk management In case the price is not discovered in pre-open session then the orders entered in the pre-open session will be shifted to the order book of the normal market following time priority. The price of the first trade in the normal market shall be the opening price. The risk management system applicable to the cash market segment will also apply to the pre-open session. Information on indicative price, buy and sell quantity of scrips and indicative index would be disseminated during pre-open session: The call auction framework shall be reviewed after three months from the commencement of the pre-open session. Stock exchanges have been advised to put in place, necessary systems processes and guidelines for implementation and amend relevant bye-laws rules and regulations. In addition, they have been instructed to design flexible software to allow for increase in scope of call auction to other sessions and scrips. In a call auction limit orders are collected over a fixed time period after which order processing is done. The price that enables the largest number of executable orders is chosen. Higher prices see smaller buy orders and lower prices see smaller sell orders. http://www.thehindubusinessline.com/2010/07/16/stories/2010071654331200.htm -- You received this message because you are subscribed to the Google Groups ""GLOBAL SPECULATORS"" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/globalspeculators?hl=en.
