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  • NSE, BSE to launch pre-trading call auction

    Published on October 18, 2010

    The nation’s two premier bourses, National Stock Exchange and Bombay Stock Exchange, will start the 15-minute pre-open session call auction from 18th October to reduce price volatility and better price discovery.

    “The NSE has commenced mock trading for pre-open call auction and we are ready to launch it on October 18,” NSE’s Chief Technology Officer, Ravi Apte told reporters in Mumbai.

    The introduction of pre-open session with a call auction mechanism is expected to reduce the quantum of volatility, typically visible in the first few minutes of a trading session.

    The call auction helps reduce price volatility due to multiple matching of orders at a single price, provides greater liquidity due to deeper demand supply schedule, leads to better price discovery, reduced market impact and simultaneity of trades eliminates possibility of front-running customer orders, Apte said.

    Securities and Exchange Board of India had asked the exchanges to introduce call auction in pre-open session.

    Initially call auction session will be held for shares included in the Nifty and SEBI will decide to add more scrips for pre-open call auction after about three months, he said.

    The pre-open call auction session will be for 15 minutes between 9 am and 9.15 am. While the first eight minutes will be reserved for order entry, modification and cancellation, the next four minutes will be kept for order matching and trade confirmation. The remaining three minutes will be the buffer period to facilitate the transition from pre-open session to the normal market.