NSE Maintains Derivatives Trading Timings and Procedures

The trade modification window will also remain unchanged, continuing until 4:15 pm. Additionally, there will be no alteration in the methodology used for computing closing prices of derivative contracts. The volume-weighted average price used for close price calculation will continue to be based on trades executed during the last half hour of trading, which will now be from 3:10 pm to 3:40 pm.

The NSE has stated that functional changes arising from the implementation will be available for testing during mock trading sessions. A separate circular detailing the mock sessions will be issued later. The exchange will also broadcast a message on NEAT trading terminals at the start of the Closing Auction Session in the equity segment when the operating price range for stock futures is reset.

As part of the process, outstanding orders lying outside the revised price range will be cancelled by the exchange in accordance with existing rules. The exchange also mentioned that a security will cease to be eligible for the Closing Auction Session (CAS) if it is excluded from the equity derivatives segment on both exchanges. In such cases, its closing price will be determined using the existing methodology, based on the volume-weighted average price (VWAP) of trades executed during the last 30 minutes of trading.

However, as long as the security remains part of the equity derivatives segment on at least one exchange, it will continue to be eligible for CAS. The exchange will cancel all unexecuted special orders, including stop-loss and disclosed quantity orders. Any pending orders that fall outside the revised price band will also be cancelled, with members receiving an appropriate cancellation message.