Periodic Call Auction was introduced by SEBI in 2013 (here) to reduce volatility in trading of illiquid stocks.
Under Periodic Call Auction, all stocks which are illiquid in nature as per SEBI guidelines, are traded in Periodic Call Auction session. These sessions are of one hour each and conducted throughout the trading hours with the first session starting at 9:30 am and last session ending at 3:30 pm.
Which Stocks are considered Illiquid by exchange?
As per SEBI guidelines, all securities which meet either of the following criteria is considered as illiquid:
- Securities that have an average daily number of trades of less than 50,
- Average daily trading volume of less than 10,000 over a quarter,
and the scrip is classified as illiquid at all exchanges where it is traded.
Note: The list of illiquid securities gets updated on a quarterly basis by the exchange.
How to trade in Illiquid Scrips via Periodic Call Options?
To trade in Illiquid Scrips on Dhan, you can place a Limit Order within the Order Placement Time of Call Auction i.e. first 45 minutes of the session. In the 45-minute session, you can place, modify and cancel your orders. Post this, the orders are matched in the next 8 minutes and the last 7 minutes are reserved by exchange as buffer period.
| Session | Order Placement Window | Order Matching | Buffer Period |
|---|---|---|---|
| 1 | 09.30 AM - 10.15 AM | 10.15 AM - 10.23 AM | 10.24 AM - 10.30 AM |
| 2 | 10.30 AM - 11.15 AM | 11.15 AM - 11.23 AM | 11.24 AM - 11.30 AM |
| 3 | 11.30 AM - 12.15 PM | 12.15 PM - 12.23 PM | 12.24 PM - 12.30 PM |
| 4 | 12.30 PM - 01.15 PM | 01.15 PM - 01.23 PM | 01.24 PM - 01.30 PM |
| 5 | 01.30 PM - 02.15 PM | 02.15 PM - 02.23 PM | 02.24 PM - 02.30 PM |
| 6 | 02.30 PM - 03.15 PM | 03.15 PM - 03.23 PM | 03.24 PM - 03.30 PM |
If you want to buy/sell such stocks, you can place a normal limit order on Dhan for the same, in the order placement window of the Call Auction session i.e. first 45 minutes. Your orders will be matched in the subsequent 8 minutes of order matching period.
In case your orders are not executed in the first auction period, the same order is considered pending for the subsequent auction period.
You can refer to exchange circulars here: NSE (here) and BSE (here).
Happy Trading!