A Big Change Is Coming to the Market Close from 3rd August
Starting Monday, 3rd August, the way certain stocks close for the day is changing.
The exchanges are introducing a Closing Auction Session (CAS) for all F&O stocks. While this is new for Indian markets, it’s already a standard practice on major global exchanges like the NYSE and LSE.
What’s changing?
Until now, a stock’s closing price has been calculated using the volume-weighted average price (VWAP) of trades executed during the last 30 minutes of trading.
With CAS, that changes.
Instead of continuously matching trades, all buy and sell orders placed during the auction window will be collected together and executed at a single equilibrium price. That price will become the official closing price.
Which shares will follow CAS?
Like mentioned, the Closing Auction Session (CAS) will apply only to equity shares on which Futures & Options (F&O) contracts are available.
In other words, if a company’s equity shares have F&O contracts listed on the exchange, those equity shares will follow the new Closing Auction Session process
All other equity shares will continue with the existing trading process until SEBI introduces CAS for additional securities in future.
Why is this being introduced?
There are two key reasons:
1. Better execution for index funds
Passive funds and ETFs that track indices often place large orders near market close to match the day’s closing price. Executing these orders in the regular market can move prices, increasing tracking error. CAS helps minimise this impact by matching all orders together.
2. More reliable closing prices
Large trades placed in the final few minutes of trading can sometimes have an outsized impact on a stock’s closing price and consequently, on the indices they’re part of. By determining the close through a single auction price, it becomes much harder for anyone to influence the market’s closing levels.
Overview: New market closing times
From 3rd August, there won’t be a single market closing time anymore:
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F&O Stocks: Continuous trading ends at 3:15 PM, followed by the Closing Auction Session.
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Non-F&O Stocks: Continue trading as usual until 3:30 PM.
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Index & Stock F&O Contracts: Continue trading until 3:40 PM.
This means you’ll notice different segments of the market “closing” at different times. If you’re an active trader, it’s worth keeping these new timings in mind to avoid any last-minute confusion.
For Stratzy users, the transition will be seamless. We’ve already made the necessary changes to ensure your algos continue to execute as intended under the new exchange framework.
We’ll continue to share updates and practical examples to help you understand how CAS works in practice.Please shoot your questions, if any 