CAS Changed the Close. Did It Break Your Backtest?

On 3 August, NSE changed how the closing price is determined for F&O-eligible stocks.

Before: The closing price was based on the VWAP of the last 30 minutes of trading — essentially an average of many trades.

Now: The last 15 minutes of regular trading set a reference price, followed by a closing auction. The exchange finds one price where the maximum quantity can be traded, and that becomes the official close.

That sounds like a small change. For backtests, it isn’t.

What Changed?

The close is now a single auction price, not a 30-minute average.

And during the auction window:

• Stop-loss, SL-M and iceberg orders don’t work.
• Limit orders more than ±3% from the reference price are cancelled.
• The final matching happens at a random time before 3:30 PM.

Why Should You Care?

If your backtest runs a strategy through the 3:15–3:30 PM window, it may be simulating trades that couldn’t actually happen live.

For example, if your backtest shows an SL-M getting triggered at 3:20 PM, that trade is not representative of what the live exchange would have allowed.

There’s another issue: your historical close now represents two different price-generation processes — pre-CAS VWAP and post-CAS auction.

What Should You Do?

If you’re running a strategy on F&O stocks:

1. Separate pre- and post-CAS data.
2. Review all orders active after 3:15 PM.
3. Remove unrealistic SL-M/stop-loss/iceberg executions from the auction window.
4. Use the actual auction close for post-CAS options calculations.
5. Don’t make big volatility assumptions yet. We need more exchange-verified data.

The important part isn’t whether CAS is good or bad.

The market changed. Your backtest needs to change with it.

FAQs

What is SEBI’s Closing Auction Session (CAS)?

SEBI’s Closing Auction Session (CAS) is a call auction that determines the official closing price for F&O-eligible stocks, replacing the earlier VWAP-based close. Continuous trading stops at 3:15 PM, orders are collected through a structured window, and the price where the maximum quantity clears becomes the official close.

When did the Closing Auction Session go live in India?

CAS went live on 3rd August 2026 for F&O-eligible stocks on NSE, replacing the VWAP-based methodology that was previously used to compute the official closing price for those stocks.

Do stop-loss orders execute during the CAS auction window?

No. Stop-loss, SL-M, and iceberg orders are cancelled at 3:15 PM and do not execute again during the CAS window for F&O-eligible stocks. A backtest that records a stop-loss fill in that window is showing a trade that could not happen live.