Step 2

VWAP Calculation

Suppose these trades occur between 3:00 PM and 3:15 PM.

Total Trade Value:  ₹12,50,000 + ₹7,53,000 + ₹5,03,000 = ₹25,06,000

Total Volume: 500 + 300 + 200 = 1,000 shares

Reference Price:  ₹25,06,000 ÷ 1,000 = ₹2,506

Step 3

The exchange creates a CAS Price Band

Using the Reference Price, the exchange creates a ±3% price band

Reference Price = ₹2,506

Lower Limit = ₹2,431

Upper Limit = ₹2,581

Only orders inside this range are accepted.

Step 4

Orders are collected

Between 3:20 PM and 3:25 PM the exchange accepts Market Orders and Limit Orders (Including old orders forwarded and newly placed)

From 3:25 PM only Limit Orders can be placed / modified.  Market Orders not allowed

The exchange now applies a ±3% price band.

What Happens If I Place an Order Outside the Price Band?

Suppose Rahul wants to buy ABC Ltd.

Any order placed outside the CAS price band is automatically rejected by the exchange and does not participate in the session

What if there are no trades between 3:00 PM and 3:15 PM?

SEBI has defined a fallback mechanism.

When will the Reference Price be available?

The Reference Price is calculated and published by the exchange during the transition period between 3:15 PM and 3:20 PM.

Once published, it becomes the basis for the next stage of the Closing Auction.

What happens to existing orders?

Eligible Limit Orders that remain unexecuted at 3:15 PM are automatically carried forward into the Closing Auction Session.

However, Stop-loss Orders, IOC orders, orders with disclosed quantity and orders outside the CAS price band are cancelled and do not participate in the auction.

How is the Closing Price Determined?

Once the order entry period ends, the exchange has received all eligible buy and sell orders.

Instead of matching them one by one, it considers all orders together to determine the price at which the maximum number of shares can be traded.

This is called the Equilibrium Price, and it becomes the closing price of the stock.

Lets continue our example

Suppose the exchange receives the following orders for ABC Ltd.

The exchange now evaluates how many shares can be matched at each price.

Since ₹2,506 allows the highest number of shares to be traded, it becomes the Equilibrium Price.

Therefore, Equilibrium Closing Price = ₹2,506

What will you see during the Closing Account Session?

During CAS, the exchange continuously publishes key information to help market participants understand how the auction is progressing.

Heres what you'll see:

What does this mean for you?

The impact of CAS depends on how you participate in the market. Heres what changes for different types of investors and traders.

If you are a delivery investor

> The closing price of eligible stocks will now be determined through the Closing Auction Session.

> Eligible unexecuted Limit Orders from regular trading are carried forward into CAS. You are advised not to place Stop-loss, IOC and orders with disclosed quantity as they shall not be allowed during CAS and shall get rejected

> If you place an order during CAS, it will follow the session rules and timings.

> Existing eligible Limit Orders may be carried forward into CAS if they remain unexecuted at 3:15 PM.

> GTT orders in CAS enabled stocks will be triggered till 3:15 PM, Non-CAS Stocks will continue till 3:30 PM.

> Equity orders placed using Execution Algos will only be allowed till 3:15 PM.

If you are an Intraday Trader

> For CAS-eligible shares

- Intraday ends at 3:00 PM instead of 3:20 PM.

- Existing open position will be squared off at or after 3:00 PM.

- All pending order in intraday will be cancelled.

> For Non-CAS shares

- Intraday ends at 3:20 PM as per existing time.

- Existing open position will be squared off at or after 3:20 PM.

- All pending order in intraday will be cancelled.

> Any order you wish to place after 3:15 PM must follow the Closing Auction Session rules.

> Plan your trades accordingly, especially if you usually trade near market close.

If you are an F&O Trader

> The equity derivatives market continues to trade until 3:40 PM.

> Since the underlying equity shares closing price is now determined through CAS, it becomes an important reference for settlement and expiry-related calculations.

> From 3:15 pm a ±3% price band will be applicable to the derived reference price for stock futures, and any order placed outside this range will be rejected by the exchange

If you invest in ETFs or Index Funds

The closing price is used for index calculation and ETF rebalancing. CAS helps discover this price through an auction-based process, providing a common closing reference for market participants.