Description

BSE introduces pre-open session for equity derivatives with detailed messaging format specifications for market participants.

Summary

BSE has introduced a Pre-Open Session in the Equity Derivatives Segment with detailed technical specifications for market participants. The implementation uses existing ETI messaging format for order management while providing specific market data communication protocols across four distinct streams (EOBI, EMDI, MDI, NFCAST).

Key Points

  • ETI API messaging format remains unchanged for order management during pre-open session
  • All existing order-related actions (addition, modification, deletion) can be performed using current ETI messages
  • No auction-exclusive messages required for equity derivatives pre-open session
  • Market data disseminated through four streams with specific messaging formats
  • Session phases include Pre-open Order Entry, Pre-open Freeze, Pre-open Matching End, and Continuous Session

Technical Specifications

EOBI Stream Messages:

  • Product State Message (Template ID: 13300) with TradingSessionSubID = 1
  • Mass Instrument State Message (Template ID: 13301) with SecurityTradingStatus values: 4 (pre-open entry), 5 (freeze), 1 (matching end), 3 (continuous)
  • Auction Clearing Price Message (Template ID: 13501) during pre-open session

EMDI/MDI Stream Messages:

  • SecurityMassTradingStatus values: 4 (pre-open entry), 5 (freeze), 0 (matching), 3 (continuous)
  • Special MDEntryType enum values: 6 (Auction Clearing Price), 12 (Auction Bid Cancel), 13 (Auction Offer Cancel)
  • Depth Incremental and Depth Snapshot messages for order actions

NFCAST Stream:

  • Implementation details for pre-open session messaging (content appears truncated in source)

Compliance Requirements

  • Market participants must review complete messaging format documents to identify all auction-related specifications
  • Applications may require changes to handle new session states and message types
  • Members strongly advised to assess required changes in their trading applications
  • Order-by-order updates continue as in current sessions

Important Dates

No specific implementation dates mentioned in the circular content provided.

Impact Assessment

High Impact on Trading Infrastructure:

  • All equity derivatives market participants affected
  • Trading systems must handle new session phases and state transitions
  • Market data feed consumers need to process additional message types
  • Price discovery mechanism through auction clearing price affects trading strategies
  • System testing required for new session handling and message processing

Impact Justification

Major trading infrastructure change affecting all equity derivatives participants with new session structure and messaging requirements