Introduction of Closing Auction Session (CAS) in the Equity Cash Segment and certain modifications in the Pre-Open Auction Session

Category	Details
Title / Headline	Introduction of Closing Auction Session (CAS) in the Equity Cash Segment and certain modifications in the Pre-Open Auction Session
Circular Ref. No.	HO/47/11/11(3)2025-MRD-POD2/I/2765/2026
Issuing Authority	SEBI
Effective From	August 03, 2026: Framework for CAS in the cash segment. September 07, 2026: Changes in the Pre-Open Auction Session framework.
Purpose	To shift from the current Volume Weighted Average Price (VWAP) method (last 30 minutes of Continuous Trading) to a Closing Auction Session (CAS) model aligned with global best practices. This ensures fair pricing, deep liquidity pools, accurate index/NAV computation, reduced tracking errors for passive funds, and transparent execution for large orders.
Interpretation of Circular	Applicability of CASPhased Implementation: Initially mandated for stocks in the cash segment that have derivative contracts available.Legacy Method Retained Temporarily: Remaining securities in the cash segment will continue determining their closing prices using the standard VWAP of trades executed during the last 30 minutes of the Continuous Trading Session (CTS).Session TimingsCAS Session Timings: Total 20-minute window from 3:15 p.m. to 3:35 p.m. on all trading days.Random Closure: Order entry closes randomly between 3:28 p.m. and 3:30 p.m.Derivatives Segment: Operates up to 3:40 p.m.Post-Close Session: Operates between 3:50 p.m. and 4:00 p.m. (trades executed at the calculated closing price).Core Rules of the Closing Auction Session (CAS)Reference Price: Determined by the Volume Weighted Average Price (VWAP) between 3:00 p.m. and 3:15 p.m. (Fallbacks apply if no trades occurred).Price Bands: Restricted to +/-3% from the stock’s reference price.Allowed Order Types: Limit orders and Market orders only (Iceberg and Stop-Loss orders are not permitted).Unexecuted CTS Orders: Automatically carried forward to CAS, except stop-loss, iceberg, and out-of-band orders. Carried-over limit orders retain higher time priority than newly placed CAS orders.Equilibrium Price Discovery: Determined sequentially by maximum executable volume, minimum absolute unmatched order quantity, and proximity to the reference price.
Impact on Sub-Brokers	Need to educate clients regarding the transition from VWAP-based closing prices to auction-matched closing prices for derivative-eligible stocks.
Impact on Clients (BOs)	Institutional & Retail Investors: Gain equal access to a single pool of liquidity to execute large orders transparently at the official closing price.Passive Funds (Mutual Funds, ETFs): Benefit from reduced tracking errors since transactions can now be settled directly at the auction-derived closing price.

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