The Securities and Exchange Board of India (Sebi) has revised the framework for the Closing Auction Session (CAS), introducing changes to closing price discovery, order execution and derivatives trading timings to improve market efficiency and ensure orderly trading across the cash and derivatives segments.
Under the revised framework, the 10-minute closing auction session will run from 3:30 pm to 3:40 pm on all trading days, with the order-entry window closing randomly between 3:38 pm and 3:40 pm. Trading in stock derivatives will continue until 3:45 pm, including on expiry days, while trading in expiring index derivatives contracts will end at 3:30 pm on expiry days.
The changes follow a review of the CAS framework introduced by Sebi on January 16, 2026. The regulator said the revisions were finalised after examining public comments on a consultation paper issued on September 12, recommendations from its Secondary Market Advisory Committee (SMAC), and discussions with stock exchanges.
How the revised closing auction session will work
The CAS will comprise three stages over 10 minutes. From 3:30 pm to 3:31 pm, exchanges will calculate the reference price and transition eligible orders from the Continuous Trading Session (CTS) to the closing auction.
Between 3:31 pm and 3:36 pm, market participants can place both limit and market orders. From 3:36 pm until the session closes, only limit orders can be entered, while modification or cancellation of market orders will not be permitted.
The order-entry session will close at a randomly determined time between 3:38 pm and 3:40 pm through a system-driven process. Once the window closes, exchanges will match orders under the CAS framework and disseminate the closing price and executed quantity as soon as practicable.
The post-close session in the cash market will operate from 3:50 pm to 4 pm, with trades executed at the closing prices of securities. For special trading sessions, the closing price of securities covered by CAS will also be determined through the auction mechanism, with the session retaining the prescribed 10-minute duration. The derivatives segment will close five minutes after CAS ends, followed by a 10-minute post-close session beginning five minutes after the derivatives segment closes.
Different trading cut-off times for stock and index derivatives
The revised framework distinguishes between stock and index derivatives on expiry days.
Trading in index derivatives will continue until 3:45 pm on regular trading days. However, on expiry days, trading in contracts expiring that day will cease at 3:30 pm. Stock derivatives, by contrast, will continue trading until 3:45 pm on all trading days, including expiry days.
Sebi has also aligned the price bands for stock futures between 3:30 pm and 3:45 pm with those applicable during CAS. The existing framework for dynamically flexing stock futures price bands will not apply during this period and will continue to operate during the relevant portion of the continuous trading session.
VWAP to determine reference price for closing auction
The reference price used for CAS will be based on the volume-weighted average price (VWAP) of trades executed in a security during the final 15 minutes of the continuous trading session.
If no trade takes place in a security during that period, its last traded price for the day will serve as the reference price. If the security has not traded at all during the day, the previous trading day's closing price will be used. In the event of a corporate action, the previous day's adjustable closing price or base price will be considered.
Iceberg orders to be carried forward with changes
Sebi has also specified how unexecuted orders will move from the continuous trading session to CAS. Unexecuted limit orders will generally be carried forward to the closing auction, except stop-loss orders and orders priced outside the applicable CAS price bands.
Unexecuted iceberg orders within the applicable price bands will be carried forward as fully disclosed limit orders, unless the market participant opted out of the transition when placing the original order. Iceberg orders typically allow traders to display only a portion of a larger order.
Such transitioned orders will receive lower time priority than other limit orders carried forward from the continuous session. Among transitioned iceberg orders, priority will be determined using the timestamp of the original order.
However, orders carried forward from the continuous session will retain higher time priority than limit orders placed during CAS. Participants can modify carried-forward limit and iceberg orders, but any modification will change their time priority.