see how share price calculated in pre-opening session(between 9 am to 9.15 am).

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

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
Market Depth
Order Book
Price
B Qty
S Qty
101.50
100
100
100
500
100
100.00
99.75
99.50
99.25
99.00
100.50
100.75
101.00
101.25
101.50
101.25
100
100
500
100
300
300
100
101.00
300
100.75
100
100.50
100
100.00
Crossed Order Book
101.00
100.00
99.75
99.50
99.25
100.50
100.75
101.00
101.25
101.50
100
100
500
100
300
100
99.75
100
99.50
100
99.25
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
100
100
100
500
500
500
99.00
100
Such Situation does not exist in continuous
session as all matchable orders are matched
immediately, however in pre-open session it
may exist
Pre-open Session
2

3. Volume Maximization Logic used in Pre-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.
During Pre-open session indicative opening
price is determined and broadcasted at periodic
interval till final opening price is established
The Steps performed to arrive at the indicative
price are :
In Pre-open session all orders (matchable &
non matchable ) are aggregated by price
Order Book
Price
Buy
Sell
B cumm
S cumm
Tradable
101.50
300
0
1100
0
101.25
100
0
800
0
101.00 300
500
300
700
300
100.75
100
300
200
200
100.50
100
300
100
100
100.00
100
400
0
0
99.75
100
500
0
0
99.50
100
600
0
0
99.25
500
1100
0
0
99.00
100
1200
0
0
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
Pre-open Session
3

4. Market Depth Display Logic Used in Pre-open Session
Market Depth is constructed for this order book as
follows
Order Book
Price
Buy
Sell
B cumm
S cumm
Tradable
101.50
300
101.00
101.00
Price Point 4
100
0
800
0
500
300
700
300
100
300
200
200
100.50
Price Point 3
0
100.75
Price Point 2
1100
101.00 300
700
0
101.25
Price Point 1
300
100
300
100
100
100.00
Buy quantity is cumulated from the best price till the
indicative price.
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
400
0
0
100
500
0
0
99.50
Price Point 1: Shows the Indicative Price
100
99.75
Price Point 5
100
600
0
0
99.25
500
1100
0
0
99.00
100
1200
0
0
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
Pre-open Session
4

5. Market Depth Logic Used in Pre-open Session
Market Depth is constructed for this order book as
follows
Order Book
Price
Buy
Sell
B cumm
S cumm
Tradable
101.50
300
101.00
101.00
Price Point 2
400
100.00
101.25
Price Point 4
100
0
800
0
500
300
700
300
100
300
200
200
100.50
Price Point 3
0
100.75
800
1100
101.00 300
700
0
101.25
Price Point 1
300
100
300
100
100
100.00
Buy quantity is cumulated from the best price till the
indicative price.
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.
Pre-open Session
400
0
0
100
500
0
0
99.50
Price Point 1: Shows the Indicative Price
100
99.75
Price Point 5
100
600
0
0
99.25
500
1100
0
0
99.00
100
1200
0
0
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
5

6. Market Depth Logic Used in Pre-open Session
Market Depth is constructed for this order book as
follows
Order Book
Price
Buy
Sell
B cumm
S cumm
Tradable
101.50
Price Point 1
300
101.00
101.00
700
Price Point 2
400
100.00
101.25
800
Price Point 3
500
99.75
101.25
1100
Price Point 4
600
Price Point 5
1100
100
0
800
0
500
300
700
300
100
300
200
200
100.50
99.25
0
100.75
99.50
1100
101.00 300
300
0
101.25
101.00
300
100
300
100
100
100.00
100
400
0
0
99.75
100
500
0
0
99.50
100
600
0
0
Similar to Price point 2 , Price Point 3 , 4 , 5 are constructed
99.25
500
1100
0
0
The Last Trade Rate Field will show the indicative
price
and the Last trade quantity field will show the
tradable quantity
99.00
100
1200
0
0
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
Pre-open Session
6

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
Pre-open Session
7

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

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

10. Market Depth Logic Comparison: Pre-Open v/s Best 5
Following orders are entered B: 1 Qty@ 110
B: 1 Qty@ 109
B: 1 Qty@ 108
B: 1 Qty@ 107
B: 1 Qty@ 106
S: 1 Qty@ 91
S: 1 Qty@ 92
S: 1 Qty@ 93
S: 1 Qty@ 94
S: 1 Qty@ 95
Order Book
Market Depth as per pre-open session logic
305
405
505
605
1105
101.00
100.00
99.75
99.50
99.25
101.00
101.25
101.50
705
805
1105
101.00
301
100.50
Market Depth as per best 5 logic
101.00
1
1
1
1
1
110.00
109.00
108.00
107.00
106.00
In this scenario, the market
Price
B
depth asQty S Qty 5cumm S cumm Tradable
per best B logic shows
110.00
1
1
1105
1
the best 5 buy and sell 2orders
109.00
1
1105
2
which are quite away from1105
the
108.00
1
3
3
indicative tradable price while
107.00
1
4
1105
4
106.00
1
5
1105
5
the market depth as per Pre101.50
300
5
5
open session logic always1105
101.25
100
5
805
5
shows the price 500
around the
101.00
300
305
705
305
indicative tradable price. 205
100.75
100
305
205
91.00
92.00
93.00
94.00
95.00
1
1
1
1
1
301
100
305
105
105
Further in market depth during 5
100.00
100
405
5
Pre-open session, all505
the 5
99.75
100
5
orders at price better 605
than price 5
99.50
100
5
99.25
500
1105
5
5
shown in the price point 1 will
99.00
100
1205
5
not be shown in the market 5
95.00
1
1205
5
5
depth. All those orders will 4
94.00
1
1205
4
definitely get executed if
93.00
1
1205
3
3
matching occurs at that point in 2
92.00
1
1205
2
1
1205
1
Pre-open Session
time 91.00
10 1

11. Thank You
Feedback on this presentation
Call.auction@bseindia.com
Pre-open Session
11