IPOs and Re-listed scrips are traded in the Special Pre-open session only on the first day of their trading (in case of IPOs) and recommencement of trading (in case of re-listed scrips). One hour special Pre-Open session has been introduced only for IPOs & Re-listed scrips through the call auction trading mechanism on the first day of their trading (in case of IPOs) and recommencement of trading (in case of re-listed scrip). The special pre-open session will run parallel to the existing cycle of pre-open session for SENSEX/NIFTY & BSE exclusively traded stocks followed by subsequent continuous trading session.

1. Market Depth Logic for Pre-open
Session
1Pre-open Session

2. Market Depth View In Continuous Session
Following is the market depth and order book for a scrip whose details are as
Prev Close : 100 Upper Ckt : 120 Lower Ckt : 80 Tick Size : 0.05
Price B Qty S Qty
101.50 300
101.25 100
101.00 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
Order BookMarket Depth
Suppose a buy order B: 300 Qty @ 101 is entered in the system, then
market depth as per best 5 logic is as follows :
300
Such Situation does not exist in continuous
session as all matchable orders are matched
immediately, however in pre-open session it
may exist
Crossed Order Book
100 100.00 100.50 100
100 99.75 100.75 100
100 99.50 101.00 500
500 99.25 101.25 100
100 99.00 101.50 300
300 101.00 100.50 100
100 100.00 100.75 100
100 99.75 101.00 500
100 99.50 101.25 100
500 99.25 101.50 300
2Pre-open Session

3. Volume Maximization Logic used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
In Pre-open session all orders (matchable &
non matchable ) are aggregated by price
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order Book
Quantities are cumulated at each price point.
Tradable quantity is determined at each price
point
Price Point with maximum tradable quantity is
the indicative price
3Pre-open Session
In Volume Maximization Algorithm, orders are
collected for defined period and then trades are
generated at a price at which maximum shares
can be traded. The determined price is the
opening Price.
The Steps performed to arrive at the indicative
price are :
During Pre-open session indicative opening
price is determined and broadcasted at periodic
interval till final opening price is established

4. Market Depth Display Logic Used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order Book
Market Depth is constructed for this order book as
follows
In Pre-open session all orders (matchable & non
matchable) are aggregated by price and the quantities
at each price is cumulated
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the
equilibrium price
Price Point 1: Shows the Indicative Price
Price Point 1
Price Point 2
Price Point 4
Price Point 3
Price Point 5
Buy quantity is cumulated from the best price till the
indicative price.
300 101.00 101.00 700
Sell quantity is cumulated from the best price till the
indicative price.
In this situation, all the orders at price better than
the price point 1 will not be shown in the market
depth. All those orders will definitely get executed if
matching occurs at that point in time
4Pre-open Session

5. Market Depth Logic Used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order Book
Market Depth is constructed for this order book as
follows
Price Point 1: Shows the Indicative Price
Price Point 1
Price Point 2
Price Point 4
Price Point 3
Price Point 5
Buy quantity is cumulated from the best price till the
indicative price.
300 101.00 101.00 700
Sell quantity is cumulated from the best price till the
indicative price.
Price Point 2: Shows the next best price from Indicative Price
onwards
Buy quantity is cumulated from the best price till the
price point 2.
Sell quantity is cumulated from the best price till the
price point 2.
400 100.00 101.25 800
In Pre-open session all orders (matchable & non
matchable) are aggregated by price and the quantities
at each price is cumulated
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the
equilibrium price
5Pre-open Session

6. Market Depth Logic Used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order Book
Market Depth is constructed for this order book as
follows
Price Point 1
Price Point 2
Price Point 4
Price Point 3
Price Point 5
300 101.00 101.00 700
400 100.00 101.25 800
Similar to Price point 2 , Price Point 3 , 4 , 5 are constructed
500 99.75 101.25 1100
600 99.50
1100 99.25
The Last Trade Rate Field will show the indicative
price
and the Last trade quantity field will show the
tradable quantity
101.00
300
In Pre-open session all orders (matchable & non
matchable) are aggregated by price and the quantities
at each price is cumulated
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the
equilibrium price
6Pre-open Session

7. Market Depth Logic Comparison: Pre-Open v/s Best 5
Market Depth display logic used in Pre-open Session was explained in previous slides,
To Summarize :
First Price point will show the indicative price and cumulative quantity at
indicative price.
The next four price points will show the next best price from indicative price
onward
The Quantities at each of four price point will be cumulative quantity from the
best price till the respective price point.
For an order book of scrip during the pre-open session , next slides will show the
difference in market depth display as per pre-open logic vis-à-vis the best 5 logic
7Pre-open Session

8. Order Book
Market Depth as per Pre-open Logic
Market depth as per best 5 logic
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
300 101.00 101.00 700
400 100.00 101.25 800
500 99.75 101.25 1100
600 99.50
1100 99.25
101.00
300 101.00 100.50 100
100 100.00 100.75 100
100 99.75 101.00 500
100 99.50 101.25 100
500 99.25 101.50 300
300
101.00
300
8Pre-open Session
If few orders are added to the
above book, the change in market
depth display is shown in next slide
Market Depth Logic Comparison: Pre-Open v/s Best 5

9. Order Book
Market Depth as per Pre-open Logic
301 101.00 101.00 701
401 100.00 101.25 801
501 99.75 101.50 1101
601 99.50
1101 99.25
101.00
301
Price B Qty S Qty B cumm S cumm Tradable
110.00 1 1 1101 1
101.50 300 1 1101 1
101.25 100 1 801 1
101.00 300 500 301 701 301
100.75 100 301 201 201
100.50 100 301 101 101
100.00 100 401 1 1
99.75 100 501 1 1
99.50 100 601 1 1
99.25 500 1101 1 1
99.00 100 1201 1 1
91.00 1 1201 1 1
Market depth as per best 5 logic
1 110.00 91.00 1
300 101.00 100.50 100
100 100.00 100.75 100
100 99.75 101.00 500
100 99.50 101.25 100
101.00
301
B : 1 Qty@ 110
S : 1 Qty@ 91 are added, then
9Pre-open Session
If few more orders are added to the
above book, the change in market
depth display is shown in next slide
Market Depth Logic Comparison: Pre-Open v/s Best 5

10. Order Book
Price B Qty S Qty B cumm S cumm Tradable
110.00 1 1 1105 1
109.00 1 2 1105 2
108.00 1 3 1105 3
107.00 1 4 1105 4
106.00 1 5 1105 5
101.50 300 5 1105 5
101.25 100 5 805 5
101.00 300 500 305 705 305
100.75 100 305 205 205
100.50 100 305 105 105
100.00 100 405 5 5
99.75 100 505 5 5
99.50 100 605 5 5
99.25 500 1105 5 5
99.00 100 1205 5 5
95.00 1 1205 5 5
94.00 1 1205 4 4
93.00 1 1205 3 3
92.00 1 1205 2 2
91.00 1 1205 1 1
Market Depth as per pre-open session logic
305 101.00 101.00 705
405 100.00 101.25 805
505 99.75 101.50 1105
605 99.50
1105 99.25
Market Depth as per best 5 logic
1 110.00 91.00 1
1 109.00 92.00 1
1 108.00 93.00 1
1 107.00 94.00 1
1 106.00 95.00 1
Following orders are entered B: 1 Qty@ 110 S: 1 Qty@ 91
B: 1 Qty@ 109 S: 1 Qty@ 92
B: 1 Qty@ 108 S: 1 Qty@ 93
B: 1 Qty@ 107 S: 1 Qty@ 94
B: 1 Qty@ 106 S: 1 Qty@ 95
10Pre-open Session
101.00
301
101.00
301
In this scenario, the market
depth as per best 5 logic shows
the best 5 buy and sell orders
which are quite away from the
indicative tradable price while
the market depth as per Pre-
open session logic always
shows the price around the
indicative tradable price.
Further in market depth during
Pre-open session, all the
orders at price better than price
shown in the price point 1 will
not be shown in the market
depth. All those orders will
definitely get executed if
matching occurs at that point in
time
Market Depth Logic Comparison: Pre-Open v/s Best 5

11. 11Pre-open Session
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