{"slug":"short-delivery-auction-in-india","qid":"close_out_formula","label":"SEBI's close-out formula applied to a US tape (AAPL, trailing three weeks, illustrative)","post_title":"Short Delivery Auction in India: NSE Rules","post_url":"/blog/short-delivery-auction-in-india#q-close_out_formula","columns":["trade_date","highest_traded_two_sessions","twenty_pct_above_next_close","close_out_price"],"rows":[{"trade_date":"2026-08-26","highest_traded_two_sessions":315.43,"twenty_pct_above_next_close":377.5,"close_out_price":377.5},{"trade_date":"2026-08-27","highest_traded_two_sessions":322.37,"twenty_pct_above_next_close":383.64,"close_out_price":383.64},{"trade_date":"2026-08-28","highest_traded_two_sessions":322.37,"twenty_pct_above_next_close":380.22,"close_out_price":380.22},{"trade_date":"2026-08-31","highest_traded_two_sessions":327.3,"twenty_pct_above_next_close":390.16,"close_out_price":390.16},{"trade_date":"2026-09-01","highest_traded_two_sessions":328.4,"twenty_pct_above_next_close":389.95,"close_out_price":389.95},{"trade_date":"2026-09-02","highest_traded_two_sessions":330.81,"twenty_pct_above_next_close":393.85,"close_out_price":393.85},{"trade_date":"2026-09-03","highest_traded_two_sessions":330.81,"twenty_pct_above_next_close":383.96,"close_out_price":383.96},{"trade_date":"2026-09-04","highest_traded_two_sessions":328.93,"twenty_pct_above_next_close":379.46,"close_out_price":379.46},{"trade_date":"2026-09-08","highest_traded_two_sessions":320.7,"twenty_pct_above_next_close":378.41,"close_out_price":378.41},{"trade_date":"2026-09-09","highest_traded_two_sessions":326.74,"twenty_pct_above_next_close":391.88,"close_out_price":391.88},{"trade_date":"2026-09-10","highest_traded_two_sessions":336.22,"twenty_pct_above_next_close":398.72,"close_out_price":398.72},{"trade_date":"2026-09-11","highest_traded_two_sessions":336.22,"twenty_pct_above_next_close":399.7,"close_out_price":399.7},{"trade_date":"2026-09-14","highest_traded_two_sessions":335.5,"twenty_pct_above_next_close":397.58,"close_out_price":397.58},{"trade_date":"2026-09-15","highest_traded_two_sessions":331.94,"twenty_pct_above_next_close":398.28,"close_out_price":398.28}],"shape":"series","sql":"SELECT\n    toString(session_date)                                  AS trade_date,\n    round(two_session_high, 2)                              AS highest_traded_two_sessions,\n    round(next_close * 1.2, 2)                              AS twenty_pct_above_next_close,\n    round(greatest(two_session_high, next_close * 1.2), 2)  AS close_out_price\nFROM\n(\n    SELECT\n        session_date,\n        max(day_high)      OVER (ORDER BY session_date ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS two_session_high,\n        anyLast(day_close) OVER (ORDER BY session_date ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS next_close,\n        count()            OVER (ORDER BY session_date ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS sessions_in_frame\n    FROM\n    (\n        SELECT\n            date                  AS session_date,\n            max(toFloat64(high))  AS day_high,\n            max(toFloat64(close)) AS day_close\n        FROM global_markets.stocks_daily_aggs\n        WHERE ticker = 'AAPL'\n          AND date >= today() - 21\n        GROUP BY date\n    )\n)\nWHERE sessions_in_frame = 2\nORDER BY session_date","computed_at":"2026-09-16T15:53:35.523122+00:00","elapsed":0.524851867}