Understanding Real-Time, Reference, Indicative and Closing Prices

For stocks with F&O contracts available and covered under the Closing Auction Session (CAS), different price points are used towards the market close as the exchange determines the stock's official closing price.

While the real-time price reflects executed trades during continuous trading, the reference price, indicative price and final closing price serve different purposes in the price-discovery process.

Indicative prices for F&O stocks & BSE indices are now live on Groww, with NSE index prices coming soon, helping traders track how a stock's final closing price is determined and why it may differ from the price seen at 3:15 P.M.

Real-Time Price

Real-time price is the live price seen on the trading screen during regular market hours, based directly on actual executed trades.

As orders are matched continuously, the price updates tick by tick.

For stocks that have F&O contracts available and are eligible under the Closing Auction Session, this continuous pricing comes to a halt at 3:15 P.M., when the stock moves out of continuous trading and into the closing auction session.

Reference Price

The reference price is the volume-weighted average price (VWAP) of trades executed between 3:00 P.M. and 3:15 P.M. This calculation takes place during the 3:15 P.M. to 3:20 P.M. window, which is when the stock transitions out of the continuous trading session and into the closing auction session. 

The reference price is used to establish the applicable price band for the closing auction and serves as the starting reference for price discovery.

Indicative Close

Once order entry begins at 3:20 P.M., with the first phase accepting both limit and market orders, an indicative equilibrium price becomes available for each stock.

The indicative close is the price at which the maximum quantity of buy and sell orders can currently be matched. It indicates where the stock's closing price could settle if the auction were to end at that point.

Alongside this, the indicative tradable quantity available at that price is also shown, along with the indicative imbalance quantity, which indicates how much buy or sell quantity remains unmatched.

Closing Price

Order entry moves into its second phase from 3:25 P.M. to 3:30 P.M. Only limit orders can be entered during this phase. Market orders already entered during the previous phase cannot be modified or cancelled.

This window closes randomly within the last two minutes, meaning order entry can end anywhere between 3:28 P.M. and 3:30 P.M. 

Once order entry ends, the exchange matches all collected orders and confirms trades, a process that runs until 3:35 P.M., beginning immediately after the order entry window closes.

The final equilibrium price determined through the auction becomes the stock's official closing price for the day.

Conclusion

As the market moves towards the close, the real-time price, reference price, indicative price and closing price can represent different price points for the same stock.

The real-time price reflects trades during continuous trading, the reference price provides the benchmark for the closing auction, and the indicative price shows where the auction could currently settle based on orders received.

The final equilibrium price determined through the auction becomes the official closing price. 

Understanding these differences can help traders interpret price movements around the market and better track the potential impact of the Closing Auction Session (CAS).