All Members


Sub: Introduction of Periodic Call Auction Session for Illiquid Securities


BSE and NSE  shall introduce Periodic Call Auction for Illiquid Securities w.e.f. January 12, 2015 as per the details given in the Annexure.




Important Note :  penalty criteria for certain trades in periodic call auction:

In the event where maximum of buy price entered by a client (on PAN basis) is equal to or higher than the minimum sell price entered by that client and if the same results into trades, a penalty shall be imposed on such trades. The penalty shall be calculated and charged by the exchange and collected from trading members on a daily basis. Trading members may recover such penalty from clients. The penalty so collected shall be deposited to Investor Protection Fund. Penalty for each such instance per session will be higher of the following:

a) 0.50% of the trade value for sale and 0.50% of trade value for the buy, resulting in

1% penalty for the client on PAN basis.


b) 2500 /- for the buy trade and 2500 /- for the sell trade, resulting in penalty of 5000/-

for the client on PAN Basis.


The list of illiquid securities for which periodic call auction as follows:


NSE illiquid Scrips List                         BSE illiquid Scrips List




More Details :



Trading Sessions

Periodic call auction sessions of one hour each shall be conducted daily throughout the trading hours with the first session starting at 9:30 am and last session ending at 3.30 pm as per details given below –

Session No.




09:30 am

10:30 am


10:30 am

11:30 am


11:30 am

12:30 pm


12:30 pm

1:30 pm


1:30 pm

2:30 pm


2:30 pm

3:30 pm













Each periodic call auction session shall consist of two periods as follows -


Order Entry Period

45 minutes

Order Entry/Modification/Cancellation Allowed

Random stoppage between 44th and 45th minute (system driven)

Dissemination of Indicative Price, Cumulative Buy & Sell quantity

Order matching and Trade Confirmation Period including Buffer period (upto 7 minutes)

15 minutes

Order matching, trade confirmation

Order Entry/Modification/Cancellation NOT Allowed

Buffer Period -  To facilitate transition between two call auction sessions















Additional Information on sessions

Ø Periodic call auction sessions for illiquid scrips shall run concurrent with continuous trading session for all other scrips not classified as illiquid.

Ø Continuous trading and post closing sessions shall not be available for these illiquid scrips.


Order Management

Ø Limit and market orders shall be permitted.

Ø All retention types shall be allowed.

Ø Stop loss orders and basket order entry facility shall not be allowed for the illiquid scrips.

Ø Odd Lot trading facility for the illiquid scrips shall be available.

Ø Trading facility for institutional series, i.e. 6 lac series range (e.g. scrip code 632715) and QFI series, i.e. 4 lac series range (e.g. scrip code 432715) shall be available for the illiquid scrips.



Treatment of Unmatched orders

All unmatched orders at the end of the every PCAS session shall be purged.



Order Matching & Equilibrium Price Computation

The equilibrium price computation shall follow the same volume maximization logic based on aggregated demand & supply of orders, which is currently followed for the pre-open and Special pre open (SPOS) sessions. For details and example on the volume maximization logic, kindly refer Exchange circular 20101014-8, dated October 14, 2010 regarding Introduction of Call Auction in Pre-Open Session.



Information dissemination

The following information shall be disseminated to the market at regular intervals during the order entry period of each PCA session as part of the market picture broadcast –

Ø The indicative equilibrium price + next best 4 bids and offers. If the indicative equilibrium price is not determined, then the best bids and offers shall be displayed.

Ø The cumulative quantities at each of these price points.

Ø Indicative equilibrium price shall be populated in the newly introduced ‘Indicative Price’ field.

Ø Indicative matchable quantity at the indicative equilibrium price shall be populated in the ‘Indicative Qty’ field.

Ø If the indicative equilibrium price/matchable quantity are not available then these fields shall be left blank.

Ø LTP: Last equilibrium price discovered. If no equilibrium price has been discovered, then the field shall be left blank.

Ø Total buy /sell depth of the book shall be populated in the ‘Buy /Sell depth’ fields.

Ø Open, High, Low and Close prices for any particular scrip shall be disseminated based on the discovered equilibrium prices during any trading day.



Price Bands

A maximum price band of 20% shall be applicable on the scrips through the day. Exchanges may reduce the price bands uniformly based on surveillance actions from time to time.




Market wide index circuit breaker

Following action shall be initiated in case of market-wide index circuit breaker –

Ø If triggered during order entry period of any periodic call auction session, that session shall be cancelled and all orders shall be purged.

Ø If triggered during order matching period of any periodic call auction session, the matching process shall be completed for scrips whose equilibrium price has been discovered or is in process of getting computed. For rest of the scrips, matching process shall be halted.

Ø Periodic call auction session shall be resumed at the next nearest call auction after the normal market resumes.