Zerodha introduces three new data points , reference price, indicative close, and total imbalance quantity , to improve transparency during the closing auction session on Kite web, helping traders better anticipate final settlement prices.
Zerodha has added three extra data points to market depth on Kite web for the closing auction session, giving traders a clearer view of how orders may settle in the final minutes of trading. The new fields are reference price, indicative close and total imbalance quantity, and the company says they will appear during the CAS window before being rolled out to the Kite app soon.
According to Zerodha’s explanation of the closing auction session, the reference price is the volume-weighted average price, or VWAP, calculated between 3:00 p.m. and 3:15 p.m. That figure serves as the benchmark for the auction. The indicative close shows the price at which the greatest volume of buy and sell orders can currently be matched, while the imbalance quantity shows how much demand or supply is still left unmatched at that level.
The idea is broadly in line with how auction markets operate elsewhere. Guidance from Zerodha’s own documentation on market depth shows that Kite already lets users inspect the best five bids and offers, with an option to expand to 20 levels, alongside standard data such as quantity, average price, previous close and circuit limits. Market-structure explainers on order imbalance also note that these figures are designed to improve transparency by showing the balance between buyers and sellers as an auction develops.
For index traders, the addition is meant to be useful as well: Zerodha says Kite will also display an indicative close for indices, giving a live estimate of where the basket may finish based on constituent stocks. In practical terms, that means the platform is trying to make the closing auction easier to read at a glance, even though the figures remain indicative and can change quickly as orders are added or cancelled.
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