Understanding Periodic Call Auctions for Illiquid Stocks

What is Periodic Call Auction?

Periodic call auctions are mechanisms specifically designed for trading illiquid stocks. These stocks typically experience low trading volumes, making their prices less influenced by regular supply and demand dynamics.
  1. Criteria for Illiquidity:
  2. Stocks with an average daily trading volume of fewer than 10,000 shares.
  3. Stocks where the average daily number of trades is under 50.
How Does the Call Auction Work?
Periodic call auctions occur six times daily, with each session lasting one hour. Here's a breakdown of the timings for these sessions:

Session No.
Start Time
Order Placement
Order Matching
Buffer Period
1
09:30 AM
09:30 AM - 10:15 AM
10:15 AM - 10:23 AM
10:24 AM -10:30 AM
2
10:30 AM
10:30 AM - 11:15 AM
11:15 AM - 11:23 AM
11:24 AM - 11:30 AM
3
11:30 AM
11:30 AM - 12:15 PM
12:15 PM - 12:23 PM
12:24 PM - 12:30 PM
4
12:30 PM
12:30 PM - 1:15 PM
01:15 PM - 01:23 PM
01:24 PM - 01:30 PM
5
01:30 PM
01:30 PM - 02:15 PM
02:15 PM - 02:23 PM
02:24 PM - 02:30 PM
6
02:30 PM
02:30 PM - 03:15 PM
03:15 PM - 03:23 PM
03:24 PM - 03:30 PM

During the order placement window, traders can place, modify, or cancel orders. After this, orders received are matched over the next eight minutes, based on the highest bid and lowest ask prices. If there's a tie, they're matched chronologically. The results are then confirmed post-matching.

For instance, "ABC Ltd", a small-scale manufacturer of specialized machinery. Due to niche demand and limited public awareness, its stocks are rarely traded, averaging about 8,000 shares daily with around 30 trades. As it meets the criteria, "ABC Ltd" falls under the periodic call auction category. A trader wanting to buy shares of "ABC Ltd" would place his order during the designated times, and if a matching sell order exists, the trade would execute.

For the list of stocks that are under periodic call auction, refer here.

To know more about the periodic call auction, you can refer to the BSE FAQs.

Note: Orders that aren't executed in a session roll over to the next. However, if they remain unexecuted by day's end, they're cancelled. You'll need to place a new order on the subsequent trading day.

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