We’ve added a few data points to market depth on Kite web that will be available during the CAS window to help you track the auction:
Reference price: The VWAP between 3:00 PM and 3:15 PM. This is the reference around which the closing auction is conducted.
Indicative close: The price at which the maximum quantity of buy and sell orders can currently be matched. This tells you where the stock may close if the auction were to end at that point.
Total imbalance quantity: Tells you how much buy or sell quantity remains unmatched at the current indicative equilibrium price.
For indices, you can also see the indicative close, which gives you an estimate of where the index may close based on its constituent stocks.
These data points will be available in the Kite app soon.
@Siva, is it possible to have the Indicative Close on the market depth of the option (index) strike prices as well and not just on the index price?
It’s helpful while trading, because right now, one has to scroll up (or down) to check it where the index price is there on the watchlist. While the difference between the index price at 3:15 pm & 3:28-3:30 pm may have narrowed in last few days, the indicative price still tends to make wild swings in between, so need to monitor it constantly.
options(current expiry) on expiry day already pricing in for indicative price, on non expiry day options dont follow indicative price, they are following future.
Concern was for web only. If not there, then having the ability to add the Indicative Close on the index ticker on the top left on Kite Web will also do the job.
Current system is not exactly conducive as right now, I find it a bit more time consuming to check the Indicative Close on the Zerodha site itself than on the official NSE/BSE site on a separate tab.
