How to determine closing price in F&O?

General
1

some times more difference between LTP AND CLOSING PRICE

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2

Closing price is calculated as the weighted average price of the last 30 minutes, whereas the LTP, as the name suggests is the last traded price..

I've illustrated the same below...


If you notice, the LTP in our example is 54 (@ 3:30 PM), but the closing price is 51.48. Also, if you see the volumes, the big ticket order 3:25 PM actually skewed the closing price.

A lot of trading stratgies actaully consider closing price as a key input for entry or exit...one way to ensure that your price is as close to the closing price is by slicing up your order and trading every 5 mins..

For example your idea is to buy 100 shares at closing price...instead of buying all the shares in one shot..buy 15 shares every 5 mins...in that way your trade price will be as close to as the closing price. 

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3

So is “Trade Value” in above example calculated at tick level.

If not how it decides avg price ? For example if trade value calculated at every one minute then one minute candle has (OHLC), then does it multiply one minute volume with (O + H + L + C) / 4 ?

4

On MCX Closing price Calculation the same answer 'll apply?

5

Is the closing price (Settlement price) for F&O on expiry date is calculated the same way as regular days like you explained above?

6

Its the closing price of the day.

7

Hi Karthick ,

I have a small doubt in this.

For eg:
25-Jan-2018 ITC LTP is 281.25
Closing prince is 280.7
When market opens tomorrow- Considering If there is no change in price (no Gap up/down) , what will be the opening price 281.25 or 280.7 ?
I can see , kite still shows it as 281.25.
Please clarify.
Thanks in advance.
-Ram

8

Hi @Ram_mohan

Check the following link
Indigo Closing Price

Cheers,
Lindo

1 Like
9

Thanks for sharing @lindo
Will the closing price be updated in Kite ?

  • Ram
2 Likes
10

Hi @Karthik , for indices like nifty and bank nifty, what will the volume? Is it the future volume or sum of volume of all index components?

11

The NIFTY closing prices are calculated by taking the last half an hour weighted average closing prices of the constituents of the index.

Indices: FAQ’s (Frequently Asked Questions)- NSE India

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12

For weighted average, we have to consider the volume right? For nifty index, what will be that volume. Since nifty spot index is non tradable, are we considering futures trade volume?

13

NSE clearly says its the metrics ( volume, traded price etc) of the 50 stocks in Nifty and so on for other indices.
read constituents

There is nothing about FUTURES or other symbols.

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