1.2 The trading day
Motivation
The textbook day "09:15 to 15:30" is out of date. The opening and closing prices now come from call auctions with randomised end times, and the derivatives close differs from the cash close. Any intraday backtest that ignores this misdates its fills.
1.2.1Session timetable#
Sessions on NSE and BSE equity, as of 6 Nov 2026
| Session | Time (IST) | Mechanism | Status of the fact |
|---|---|---|---|
| Pre-open call auction | 09:00–09:15 | Order entry, then a single-price auction (1.3) | NSE circular NSE/CMTR/74969 (1 Jul 2026), effective 7 Sep 2026 |
| Normal market | 09:15–15:30 | Continuous limit order book (1.4) | NSE/CMTR/74969; SEBI circular of 15 Oct 2026 (CAS begins at 15:30) |
| Closing auction session (CAS) | live since 3 Aug 2026; re-timed from 7 Dec 2026 | Single-price auction that sets the official close | SEBI circulars of 16 Jan 2026 and 15 Oct 2026 |
| Post-close session | 15:50–16:00 | Trading at the closing price | SEBI circular of 15 Oct 2026, para 4.2.6 |
1.2.2The pre-open session#
Pre-open, from 7 Sep 2026 (NSE circular NSE/CMTR/74969 of 1 Jul 2026, Table A and notes, implementing para 5 of SEBI's circular of 16 Jan 2026; fetched 6 Nov 2026):
- 09:00–09:05: market and limit orders may be entered, modified or cancelled.
- 09:05 to the close of order entry: limit orders only; market orders can no longer be modified or cancelled.
- Order entry closes at a system-driven random time in the last two minutes, between 09:08 and 09:10.
- From the close of order entry to 09:12: matching at the equilibrium price, which becomes the open, and trade confirmation.
- 09:12–09:15: a buffer to move into continuous trading.
- Stop-loss, IOC and disclosed-quantity orders are not accepted; algorithmic market orders are allowed only in the first five minutes; pre-open trades cannot be cancelled.
The older structure had order entry from 09:00 to 09:08 with a random close in the last minute, then matching to 09:12 and a buffer.
Why randomise the end of order entry If the auction ended at a known second, a large trader could post a misleading order early and cancel it at the last instant, after others had reacted to the displayed indicative price. A random stop makes every displayed order a live commitment with positive probability. It is the same design used by many European exchanges.
1.2.3The close and the derivatives day#
Closing Auction Session (CAS) Before August 2026 the official NSE close was the volume-weighted average price (VWAP, 5.6 of M05) of trades between 15:00 and 15:30. SEBI's circular HO/47/11/11(3)2025-MRD-POD2/I/2765/2026 of 16 Jan 2026 replaced this with a closing call auction, run 15:15–15:35 and implemented from 3 Aug 2026 for stocks with derivatives (Phase 1) (paras 4.1, 4.2 and 6.1). A later circular, HO/47/11/11(3)2025-MRD-POD2/I/23843/2026 dated 15 Oct 2026, effective 7 Dec 2026 (para 6.1), re-timed it (both fetched 6 Nov 2026):
- CAS runs 15:30–15:40: 15:30–15:31 reference-price calculation; 15:31–15:36 market and limit orders; then limit orders only; order entry closes at random between 15:38 and 15:40 (para 4.2). The CAS reference price is the VWAP of the last 15 minutes of continuous trading (para 4.3).
- Post-close session 15:50–16:00 at the closing price (para 4.2.6).
- Index derivatives trade until 15:45, except that expiring index contracts stop at 15:30 on expiry day; stock derivatives trade until 15:45 on all days (paras 4.2.4–4.2.5).
- Expiry settlement of derivatives is based on the last 30 minutes of continuous trading, not the CAS price (para 4.9): for index contracts, the index value computed from the constituents' VWAPs over those 30 minutes; for stock contracts, the stock's VWAP over those 30 minutes across all exchanges. (Press reports of a 15-minute window confuse this with the CAS reference price.)
- Unexecuted continuous-session limit orders, and iceberg orders converted to fully disclosed orders, are carried into the CAS from 8 Feb 2027 (paras 4.8 and 6.2).
Muhurat trading is a one-hour special session on Diwali. In 2026 it is reported for 8 Nov 2026, normal market 14:20–15:30 (as reported; verify on the NSE circular for the session).
Practitioner notes
- The open and close are auction prices. They are not the first and last trades of a continuous process. A daily OHLC bar mixes three mechanisms.
- Since August 2026 the official close and the futures settlement price can come from different mechanisms and windows. If you hedge a cash position with futures into expiry, the two legs are marked differently. Basis convergence (M07) holds only to the extent the two settlement prices agree.
- The re-timings in 2026 are a reminder that market design is a live policy variable. Every fact in this section has an as-of date in the "Facts that change" table.