The existing system, the new system, and how the closing price will be determined from 03 August 2026.

Item	Detail
Regulatory basis	SEBI Circular No. SEBI/HO/47/11/11(3)2025-MRD-POD2/I/2765/2026 dated 16 January 2026, read with NSE Circular NSE/CMTR/73362 dated 18 March 2026 and corresponding BSE notices
Effective date	Monday, 3 August 2026
Applicability (Phase I)	Equity cash segment — only stocks on which F&O contracts are available. All other stocks continue unchanged.
Exchanges	NSE, BSE and MSEI

Every trading day, one number does an enormous amount of work: the official closing price of a stock. It drives the level of the Nifty and the Sensex, the NAV at which every mutual fund transaction is processed, the settlement of derivatives contracts, the value of securities pledged as collateral, and every portfolio valuation and P&L report we send a client. It is a settlement rate, not just the last number on a screen.

From 3 August 2026, the way that number is arrived at changes. For stocks on which F&O contracts are available, the closing price will no longer be an average of trades from the last thirty minutes. It will be a single price discovered in a dedicated auction held between 3:15 p.m. and 3:35 p.m. — the Closing Auction Session, or CAS. Continuous trading in those stocks stops at 3:15 p.m. instead of 3:30 p.m.

This note covers three things: how the closing price is computed today, what the new system is and what exactly changes, and how the new closing price is actually determined from the order book.

The change in one line Today: the closing price is an average of whatever happened to trade between 3:00 and 3:30 p.m. — a by-product of ordinary trading. From 3 August 2026: for F&O stocks, it is the single price at which the largest number of shares can be matched in a dedicated auction — a deliberate outcome.

 

1. The new system — what CAS is, and what exactly changes

1.1  What a Closing Auction Session is

CAS is a call auction. Instead of matching buyers and sellers continuously the moment their prices cross, the exchange collects all buy and sell orders for a fixed period without executing anything, and then matches them all at one single price — the price at which the largest number of shares can change hands. That single price becomes the official closing price of the stock.

Mechanically it is the same idea as the pre-open session we already run every morning. The difference is that this one runs at the end of the day and sets the close instead of the open.

 

1.2  Which stocks are covered — Phase I

SEBI has deliberately chosen a phased rollout. For Phase I, the equity cash segment is effectively split into two categories:

Category	Definition	Closing price from 3 Aug 2026	Continuous trading ends at
Category I (CAS-eligible)	Stocks on which F&O contracts are available — roughly the 220-odd derivative-eligible names including all Nifty 50 and Bank Nifty constituents	Equilibrium price discovered in CAS	03:15 p.m.
Category II (all others)	Every other security in the cash segment — non-F&O stocks, SME, ETFs, REITs/InvITs, debt instruments etc. (as notified by the exchange)	Existing 30-minute VWAP — no change	03:30 p.m.

How to identify a CAS-eligible security

• The exchanges will flag CAS-eligible securities through a dedicated CAS indicator in the security master, and will separately publish the list of eligible securities.
• A security is added to the CAS list from its first trading date in derivatives across exchanges, and remains on it up to its last trading date in derivatives. If derivatives on a stock are discontinued, it reverts to the normal VWAP-based close from the next trading day.
• Eligibility is aligned across exchanges — a stock does not sit in CAS on one exchange and in continuous trading on another.

 

Operational implication Our systems must consume the CAS indicator daily and drive session logic, order validation, square-off timers and client messaging from it. Hard-coding a static list will break on the day a stock enters or exits the derivatives segment.

1.3  Revised market timings from 3 August 2026

Time	CAS-eligible (Category I) stocks	Non-CAS (Category II) stocks	Equity derivatives
9:15 a.m. – 3:00 p.m.	Continuous trading	Continuous trading	Continuous trading
3:00 – 3:15 p.m.	Continuous trading. Exchange simultaneously computes the CAS reference price from this window.	Continuous trading	Continuous trading
3:15 p.m.	Continuous trading ENDS	Continuous trading continues	Continues; stock futures price band re-set to ±3%
3:15 – 3:20 p.m.	CAS Phase 1 — transition; reference price computed and published; no order entry	Continuous trading	Continuous trading
3:20 – 3:25 p.m.	CAS Phase 2 — Order Entry I: limit AND market orders	Continuous trading	Continuous trading
3:25 p.m. – random close (3:28 – 3:30)	CAS Phase 3 — Order Entry II: limit orders only; market orders frozen; session closes at a random second	Continuous trading until 3:30 p.m.	Continuous trading
3:30 – 3:35 p.m.	CAS Phase 4 — order matching; equilibrium/closing price determined	Market closed. VWAP close computed as before.	Continuous trading
3:35 – 3:40 p.m.	Cash market closed	Cash market closed	Derivatives continue until 3:40 p.m.
3:50 – 4:00 p.m.	Post-closing session — orders execute at the discovered closing price	Post-closing session	Closed

Three timing changes that will generate the most client calls For F&O stocks, the cash market now shuts 15 minutes earlier — at 3:15 p.m., not 3:30 p.m. Equity derivatives now trade 10 minutes longer — until 3:40 p.m. This applies to index futures, index options, stock futures and stock options. The cash post-closing session moves from 3:40 – 4:00 p.m. to 3:50 – 4:00 p.m.

1.4  The reference price and the ±3% band

The auction is anchored to a reference price, computed by the exchange during the 3:15 – 3:20 p.m. transition window:

Situation	Reference price used
Trades occurred between 3:00 and 3:15 p.m.	VWAP of those trades
No trade between 3:00 and 3:15 p.m., but the stock traded earlier in the day	Last Traded Price (LTP) of the day
No trade at all during the day	Previous trading day’s closing price
Previous close affected by a corporate action	Previous day’s adjusted closing price, or the base price where applicable

A price band of ±3% of the reference price applies throughout CAS. On a reference price of ₹2,506 that gives a band of ₹2,431 to ₹2,581, subject to tick-size rounding. Orders priced outside the band are rejected outright by the exchange, and existing out-of-band orders are cancelled.

1.5  Order types — what is and is not allowed in CAS

Order type / attribute	Continuous Trading Session	Closing Auction Session
Limit order	Allowed	Allowed — throughout CAS order entry
Market order	Allowed	Allowed 3:20 – 3:25 p.m. only. Cannot be placed, modified or cancelled after 3:25 p.m.
Stop-loss / SL-M order	Allowed	NOT allowed — cancelled at transition
Iceberg / disclosed-quantity order	Allowed	NOT allowed — full quantity must be disclosed
IOC (Immediate or Cancel)	Allowed	NOT allowed
Orders outside the ±3% CAS price band	Subject to normal circuit limits	Rejected by the exchange; existing ones cancelled
Algo market orders	Not permitted (existing risk checks)	PERMITTED in CAS, and no penalty will be levied for such orders

Only limit orders and market orders participate in CAS, and both are counted in computing the equilibrium price. Everything conditional, hidden or time-conditional is excluded — a conditional order cannot meaningfully express demand in a single-price auction, and a hidden order would defeat the transparency the auction is designed to create.

Unexecuted limit orders from continuous trading that fall inside the price band are carried forward into CAS automatically and keep their original time priority. Stop-loss, iceberg and IOC orders, and orders outside the band, are cancelled at the transition.

The most common client complaint to expect on 3 August “My stop-loss disappeared at 3:15 p.m.” It did not fail — stop-loss orders are not permitted in CAS by regulation, so the exchange cancels them at the transition. The client’s holding or position is completely unaffected. If the client still wants to exit at the close, they must place a fresh limit or market order between 3:20 and 3:25 p.m.

2.  How the closing price is determined — the equilibrium price

This is the part that usually causes confusion, so we will build it up slowly from an actual order book.

 

2.1  The auction order book

Suppose that when the auction closes, the pooled order book for a stock looks like this. All figures are illustrative, and use round numbers around ₹1,000 to keep the arithmetic easy to follow:

Limit price (₹)	Buy quantity at this price	Sell quantity at this price
1,010	500	150
1,008	300	250
1,005	400	400
1,002	200	300
1,000	100	200

 

2.2  The two rules that make it work

• A buy limit is a maximum. A buyer who is willing to pay ₹1,010 will also happily buy at ₹1,005 — they accept any price at or below their limit.
• A sell limit is a minimum. A seller who is willing to accept ₹1,000 will also happily sell at ₹1,005 — they accept any price at or above their limit.

 

So at every candidate price we must ask: how many buyers would be willing to buy at this price or better, and how many sellers would be willing to sell at this price or better? That gives us cumulative demand and cumulative supply.

 

2.3  Building the cumulative picture

Candidate price (₹)	Cumulative buy qty|(buyers willing at this price or above)	Cumulative sell qty|(sellers willing at this price or below)	Executable volume|(the lower of the two)
1,000	1,500	200	200
1,002	1,400	500	500
1,005	1,200	900	900  ← highest
1,008	800	1,150	800
1,010	500	1,300	500

 

Result At ₹1,005, 900 shares can change hands — more than at any other price. ₹1,005 is therefore the equilibrium price, and ₹1,005 becomes the official closing price of the stock for the day. Every single matched order executes at ₹1,005 — the buyer who bid ₹1,010 and the seller who asked ₹1,000 both trade at ₹1,005. This is the defining feature of a call auction: one price for everybody.

2.4  Tie-breakers and fallbacks

The algorithm has a defined cascade, and Operations should know it because it explains outcomes that otherwise look arbitrary:

Step	Rule
1	Choose the price with the maximum executable volume.
2	If two or more prices tie on volume, choose the one with the least unmatched (imbalance) quantity.
3	If they still tie, choose the price closest to the reference price.
4	If the reference price falls exactly midway between two such prices, the reference price itself becomes the closing price.
5	If no equilibrium price can be discovered at all (for example, no orders, or no overlap between buy and sell), the reference price becomes the closing price.
6	If no equilibrium price is discovered and the security did not trade at all during the day, the latest available closing price is carried forward as that day’s close.

Important reassurance for clients There is no scenario in which a CAS-eligible stock ends a day without a closing price. If the auction produces nothing, the reference price steps in. Clients should never see a blank or stale valuation because of CAS.

2.5  Order execution priority within the auction

All matched orders trade at the single equilibrium price, but the sequence in which orders get filled — which matters when there is an imbalance and not everybody can be filled — follows a fixed order:

Priority	What gets matched
1st	Eligible market orders are matched against each other first, on time priority, at the equilibrium price
2nd	Residual market orders are matched against limit orders
3rd	Remaining limit orders are matched against each other on price-time priority

In short: market orders get execution priority over limit orders. A client who genuinely wants to be filled at the close should use a market order in Order Entry Session I (3:20 – 3:25 p.m.); a client who cares about price should use a limit order — but must accept the risk of not being filled.

2.6  What the exchange broadcasts while the auction runs

Throughout the order entry phases the exchange disseminates, at regular intervals, the indicative equilibrium price, the indicative tradable quantity at that price, cumulative buy and sell quantities, the imbalance quantity with an indicator of which side is heavier, and both an actual and an indicative closing index value. Dealers should learn to read these — between 3:15 and 3:35 p.m. the cash LTP is frozen, and the indicative equilibrium price is the only forward-looking signal.

 

 

Frequently Asked Questions (FAQs) – Closing Auction Session (CAS)

 

1. What is the Closing Auction Session (CAS)?

The Closing Auction Session (CAS) is a new auction-based mechanism introduced by SEBI to determine the official closing price of eligible equity stocks. Instead of using the previous closing-price methodology, eligible stocks will have their closing price discovered through an auction based on aggregated buy and sell orders.

 

2. When will the Closing Auction Session start?

The new Closing Auction Session will be effective from 3 August 2026 for eligible securities in the equity cash segment.

 

3.Which stocks will be covered under CAS?

CAS will initially apply to stocks that have Futures & Options (F&O) contracts available, subject to the applicable exchange framework.

Stocks not covered under CAS will continue to follow the existing closing-price methodology.

 

4. What are the new trading timings for CAS-eligible stocks?

For eligible stocks, regular continuous trading will be available until 3:15 PM, followed by the Closing Auction Session.

Time	Activity
9:15 AM – 3:15 PM	Normal continuous trading
3:15 PM – 3:20 PM	Transition / Reference Price calculation
3:20 PM – 3:25 PM	CAS Order Entry – Market & Limit Orders
3:25 PM – 3:30 PM	CAS Order Entry – Limit Orders only
3:30 PM – 3:35 PM	Order Matching & Trade Confirmation
3:50 PM – 4:00 PM	Post-Close Session

The CAS order-entry period includes a random closing mechanism during the final portion of the order-entry window.

 

5. What happens to equity trading after 3:15 PM?

For CAS-eligible stocks, continuous trading ends at 3:15 PM. Orders are then handled through the Closing Auction Session rather than normal continuous matching.

 

6. How is the closing price determined under CAS?

During CAS, eligible buy and sell orders are collected and aggregated. The exchange determines an equilibrium price at which the maximum possible quantity can be matched. This price becomes the official closing price.

 

7. Is the closing price still calculated using VWAP?

For CAS-eligible stocks, the final closing price is no longer determined using the previous VWAP-based closing mechanism. The closing price is discovered through the auction.

However, a reference price based on VWAP is used as part of the CAS process.

 

8. What is the Reference Price in CAS?

The Reference Price acts as the starting reference for the Closing Auction Session. It is derived from the applicable VWAP methodology during the specified period immediately preceding CAS.

 

9. Can I place orders during the Closing Auction Session?

Yes. Eligible orders can be placed during the CAS order-entry period, subject to the applicable exchange rules and order types permitted during each stage.

 

10. Can I place Market Orders during CAS?

Market orders are permitted during the initial CAS order-entry period. During the subsequent order-entry period, only limit orders are permitted.

 

11. Can I modify or cancel my order during CAS?

Order modification and cancellation are subject to the specific rules applicable to each stage of the CAS. In the later stage, restrictions apply, particularly as the auction approaches its random close.

 

12. Will all orders placed during CAS get executed?

No. Execution depends on the availability of matching buy and sell orders and the equilibrium price determined through the auction. An order may remain partially executed or unexecuted.

 

13. What happens if my order is not executed during CAS?

An unexecuted order will be handled according to the applicable exchange and broker order-management rules. Investors should check the order status on their trading platform.

 

14. Will CAS affect F&O trading?

CAS applies to the equity cash segment. F&O trading has separate trading hours and continues as per the applicable derivatives-market schedule.

 

15. Will stocks not covered under CAS have different timings?

Yes. Securities not covered under CAS will continue with the applicable existing continuous-trading and closing-price mechanism.

 

16. What is the Post-Close Session?

A Post-Close Session is available in the equity cash segment after the regular and auction sessions. During this session, eligible trades are executed at the determined closing price, subject to applicable exchange rules.

 

17. Why has SEBI introduced CAS?

The key objective is to improve price discovery, transparency and reliability of the official closing price by bringing together market-wide buy and sell interest into an auction rather than relying solely on trades executed during the final part of continuous trading.

 

18. How is CAS different from normal continuous trading?

Continuous Trading	Closing Auction Session
Orders are matched continuously	Orders are collected before matching
Multiple trade prices can occur	A single equilibrium price is determined
Immediate execution when orders match	Execution occurs after auction price discovery
Price changes continuously	Closing price is determined through auction

 

19. Will CAS impact my portfolio’s closing value?

Yes, for eligible securities, the official closing price determined through CAS will be used wherever the closing price is relevant, including portfolio valuation and other market-related calculations.

 

20. Do investors need to take any action because of CAS?

Investors should be aware of the earlier end of continuous trading at 3:15 PM for CAS-eligible stocks and understand the order-entry and execution process during the auction. No separate activation is required merely to participate in the market.

 

21. Does CAS apply to every stock?

No. CAS is applicable to eligible securities as specified under the exchange/SEBI framework. Initially, the framework covers stocks with available F&O contracts, while other securities continue under their applicable existing mechanism.

 

22. Where can I find the official SEBI notification?

You can refer to SEBI’s official circular on the Introduction of Closing Auction Session (CAS) in the Equity Cash Segment. SEBI Circular – Closing Auction Session (CAS)

 

Suggested website note: The above information is for general awareness and is based on the applicable SEBI/exchange framework. Investors are advised to refer to the latest circulars, exchange notices and applicable terms before trading.