Pre open market session

Today the nifty actually opened at 11393 in the pre open market session but in the open market the nifty opened at 11334. How dos the auctioning happen in the pre market session? Where can I check the details of it, especially the volume of the Nifty 50 constituents?

NSE and BSE introduced the pre-open call auction sessions from October 18, 2010. The pre-open session lasts for 15 minutes from 9:00 AM to 9:15 AM, and is divided into three parts:

9:00 to 9:08 : In the first 8 minutes You can place the order, you can also modify or cancel the order in this session. Order entry session will randomly stop anytime between the 7th & 8th minute.

9:08 to 9:12 : In the next 4 minutes price discovery, order matching and the trade confirmation will be done, and orders will be executed. Order modification or cancellation would not be allowed in this session.

9:12 to 9:15: The next 3 minutes are used to facilitate the transition from pre-open to regular session. All unexecuted orders in the pre-open session will be carried forward to the normal trading session by the exchange. In the event of the opening price not determined during the call auction period, all pending market orders would be moved to the continuous session at the previous close price.

At present, only NIFTY and SENSEX scrips at NSE and BSE respectively, have been enabled for trading in the Pre-open session by the exchanges. Scrips which will get excluded or included in the NIFTY or SENSEX indices will still be a part of the pre-open session.

Orders are entered into the system continuously filling the auction order book but remain unexecuted till the end of the order entry period i.e, 9:08 AM. Between 9:08 AM to 9:12 AM, orders get matched into trades at a single price. It follows the concept of the multilateral order matching i.e it will find a price at which max orders will be executed rather than bilateral matching.

Instead of executing trades right from the get go, Pre-opening call auction takes all orders and then arrive at an equilibrium price. The equilibrium price is the price at which the maximum number of shares can be traded based on the demand and supply quantity and the price. The orders are then matched at the discovery price and trades take place at this price. Whereas in the Normal trading, session orders match instantly following price-time priority. Further, the normal market will open at this discovered price.

All your pre-market orders would go to exchange from 9.00 a.m. onwards i.e. in the normal trading session. For the scrips which are part of the pre-open session, you can place overnight orders or pre-market orders up to 9.00 a.m. and in the case of other scrips which do not form part of the pre-open session you can place overnight orders till the beginning of normal market session i.e. 9.15 a.m.

Overnight orders can be placed in all scrips i.e. Pre-open enabled scrips as well as other scrips enabled for equity trading. Overnight orders are orders which can be placed by you after normal market hours and before the next day’s trading session. Your overnight orders in pre-open enabled scrips would be sent to exchange during the pre-open order entry period (i.e. 9.00 a.m. to 9.08 a.m.) and in the case of overnight orders in other scrips, all such orders would be sent to exchange during the normal trading session (i.e. from9 .15 a.m.).

-Courtesy from Quora… Was posted in 2016 so there could have been some changes.

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@akarsh_ghale Thanks. Today, the nifty opened at 11393 in the pre market session but never made to that price again in the entire day time frame. What does that mean ? Let’s assume that nifty is not an index but rather an individual scrip. Does that mean that one or few orders were matched and executed at 11393 ? Can I consider that as virtually the high of the day?

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Yes, of course. The pre-market high can not only be considered as high of the day but can also as a strong resistance point provided that there was good amount of volume in case it doesn’t break during the normal trading hours. One of the big disadvantages is that brokers here do not show the Pre-market session that holds a load of valuable information. So for now, you will have to look at the Level II market depth in order to gain some insights.

Yes, it means exactly that. Unfortunately, as i stated above, you cannot look at the Pre-Market session and due to that you can’t really make out the volume to understand whether that was a strong move or weak. If the index didn’t reach the Pre-market high(not even nearby that) than i can only infer that move wasn’t supported by huge volume. If the index was rejected multiple times near that price point than we can infer that there are a lot of buyers at that price point.

I just remembered that I have had seen a page in NSE website which contains about the Pre market session data. Here is the page link : https://www.nseindia.com/market-data/pre-open-market-cm-and-emerge-market

I noticed that the opening price of a security in the open/regular session is the ‘Final price’ in the page. Do you know about this page and have you been analyzing this data since before? If yes, could you help me out in understanding the terms in the header?

Thanks.


To remind you, Equilibrium price is where the maximum quantity of shares that can be traded.

  • SYMBOL: Stock symbol
  • PREV. CLOSE: Refers to the equilibrium price of the previous day
  • IEP Price: (Indicative Equilibrium Price) It is an indication of the price where most of the prices can be traded.
  • CHNG: change from yesterday’s value
  • %CHNG: change in percentage
  • FINAL PRICE: FInal equilibrium price
  • FINAL QUANTITY: Quantity of shares traded at that equilibrium price
  • VALUE: Final Quanity * Equilibrium Price
  • FFM CAP: it is the free float Market Cap of the company. Meaning the number of shares that are traded publicly out of the total outstanding shares.
  • NM 52W H: 52W High of the stock(Normal trading Hours)
  • NM 52W L: 52W Low of the stock(Normal Trading Hours)

This data is given after the market opens so it doesn’t really give an edge if you wanna trade on the open. And since the final price is considered as the opening price doesn’t really give out an indication whether that price was really the high of the day as some orders that are at above price range of the equilibrium price are cancelled.

The main problem is in the way the pre-market session is carried out itself, since the orders are matched at the price point where maximum quantities can be traded leaves out some buyers and sellers at the higher price.

You can look at this PDF if you want more details on Pre-Market Session on NSE: https://archives.nseindia.com/common/pdf/Member_FAQ_on_SpecialPreOpenSession_inCapitalMarketSegment.pdf