Learn about pre-open session and call auctions

1.6.10 · Stock-Market › Order Types & Mechanics

YEH EXIST KYU KARTA HAI?

YEH KYA HAI? (definitions)

OPENING PRICE KAISE FIND HOTI HAI? (scratch se derive karo)

Hum woh price $P$ chahte hain jis par sabse zyada shares trade ho sakein.

Step 1 — Demand aur supply curves banao. Kisi bhi candidate price $P$ par:

• Cumulative demand $D(P)$ = un sabhi buyers ke shares jo ≥ P pay karne ko taiyaar hain (jo buyers zyada bid kar rahe hain woh kam price bhi accept karenge).
• Cumulative supply $S(P)$ = un sabhi sellers ke shares jo ≤ P accept karne ko taiyaar hain.

Yeh step kyun? Ek buyer jo ₹101 bid kar raha hai woh ₹100 pe buy karne mein khush hai; ek seller jo ₹99 maang raha hai woh ₹100 pe sell karne mein khush hai. Toh demand $P$ badhne se girti hai, supply $P$ badhne se badhti hai.

Step 2 — Har price par tradable quantity. Tum sirf wahi match kar sakte ho jo dono sides support karti hain: $Q(P)=\min (D(P),S(P))$ Kyun? Agar buyers 500 chahte hain lekin sellers sirf 300 offer kar rahe hain, toh sirf 300 trade honge — the min.

Step 3 — Maximise karo. $P^{\ast }=\arg {\max }_{P}Q(P)=\arg {\max }_P\min (D(P),S(P))$

Market orders (koi price nahi) ko kisi bhi price par trade karne ke liye willing maana jaata hai, isliye woh demand ke top / supply ke bottom par baithe hain aur har candidate $P$ par count hote hain.

Worked example 1 — ek clean order book

Pre-open ke dauran collect hua order book:

Cumulative demand banao (buyers apni bid se ≤ koi bhi price accept karte hain; bid ≥ P wale buyers count karo):

• At 101: buyers bidding ≥101 = 100+200+300 = 600
• At 103: 100+200 = 300
• At 105: 100

Kyun? Price zyada → kam buyers qualify karte hain.

Cumulative supply banao (sellers with ask ≤ P):

• At 101: 100 = 100
• At 103: 100+300 = 400
• At 105: 100+300+200 = 600

Tradable $Q=\min (D,S)$:

• 101: min(600,100)=100
• 103: min(300,400)=300
• 105: min(100,600)=100

Max hai 300 at P = 103 → opening price ₹103, 300 shares trade hote hain. Yeh step kyun? 103 par sabse zyada shares haath badal sakte hain — yahi definition hai.

Worked example 2 — ek tie, minimum imbalance se break hoti hai

Maano $Q(102)=Q(104)=500$ (ek tie).

• At 102: $D=500,S=520\Rightarrow$ unmatched $=20$
• At 104: $D=540,S=500\Rightarrow$ unmatched $=40$

Tie-breaker 1 → minimum unmatched pick karo → ₹102 jeetta hai. Kyun? Kam leftover imbalance = ek zyada "balanced" fair price.

Worked example 3 — koi crossing orders nahi (koi equilibrium nahi)

Highest bid = ₹99, lowest ask = ₹101. Koi milne ko taiyaar nahi. Tab $Q(P)=0$ har jagah → koi equilibrium price nahi. NSE rule: opening price = previous close (ya, continuous session mein pehle trade ke liye, pehla traded price). Uncrossed orders continuous 9:15 book mein shift ho jaate hain. Kyun? Tum aise trades se price discover nahi kar sakte jo ho hi nahi sakti.

Common mistakes (Steel-manned)

Woh 20% jo 80% deta hai

1. Pre-open = call auction, 9:00–9:15, teen phases (collect → match → buffer).
2. Opening price = max matched quantity, $P^{\ast }=\arg \max \min (D,S)$.
3. Sab ek price par trade karte hain; market orders kisi bhi price par count hote hain.
4. Koi crossing nahi → opening price = previous close.

Flashcards

Connections

• Continuous Trading & Price-Time Priority
• Market Orders vs Limit Orders
• Circuit Breakers & Price Bands
• Closing Session & Closing Price Auction
• Order Book & Depth
• Liquidity & Bid-Ask Spread

Concept Map