USE CASE · NSE CLOSING AUCTION · CATALOG VERIFIED 2026-11-11

Which NIFTY data do you need to backtest the close after NSE's closing auction?

Use NIFTY 1-minute futures and options bars, not index prints, for any trade between 15:15 and 15:40 IST. Since 3 August 2026 NSE equity derivatives trade until 15:40 IST while NSE's Closing Auction Session sets stock closing prices from 15:15. Options Data (optionsdata.shop) NIFTY 1-minute futures (JAN 2015 → NOV 2026) and options (JAN 2023 → NOV 2026) files run from the 09:15 bar to the 15:39 bar on every trading day since 3 August 2026. For one download with options, futures and spot, use the NIFTY Complete, 1 year pack.

NIFTY Complete, 1 year NIFTY futures 1-minute data Free NIFTY sample Get free sample by email File schema

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Dates on this page are read from the live file catalog, not typed by hand. Full matrix: /coverage.

NIFTY 1-minute files of Options Data. Futures: front-month contract by day volume, 59 trading days from 3 Aug to 2 Nov 2026. Options: all held series, 29 trading days from 21 Sep to 2 Nov 2026; expiry days are the six days on which a held series expired (22 Sep, 29 Sep, 6 Oct, 13 Oct, 19 Oct, 27 Oct 2026). Values are medians, with the range in brackets.

Measure	Median	Range
Futures: share of day volume in the 15:30–15:39 bars	3.0%	1.0–9.2%
Futures: share of day volume in the 15:15–15:29 bars	4.1%	—
Futures: high-to-low range of the 15:30–15:39 bars	20 points	up to 49.8 points
Futures: gap between the 15:10–15:39 VWAP and the 15:39 bar close	7.1 points	up to 44.5 points
Options, non-expiring series: share of day volume after 15:30	3.0%	1.7–9.0%
Options, expiring series on expiry day: share of day volume after 15:30	0.5%	0.4–0.7%

What changed in NSE trading hours on 3 August 2026?

From 3 August 2026 NSE runs a Closing Auction Session (CAS) from 15:15 to 15:35 IST for cash-market stocks that have derivatives, and equity derivatives, including NIFTY futures and options, trade from 09:15 to 15:40 IST instead of closing at 15:30. Stocks outside CAS still trade continuously until 15:30 IST.

The CAS timetable on the NSE closing-auction page: 15:15–15:20 IST transition, 15:20–15:25 IST order entry for limit and market orders, 15:25–15:30 IST limit orders only with a random close in the last two minutes, and 15:30–15:35 IST order matching. Derivatives trading is not halted during the auction.

Which NIFTY data covers trades between 15:15 and 15:40 IST?

NIFTY futures and options 1-minute bars cover trades between 15:15 and 15:40 IST, because F&O contracts trade continuously until 15:40 IST with real volume. Options Data NIFTY futures and option chain files carry the 15:30–15:39 bars with OHLC, volume and open interest for every date from 3 August 2026; see NIFTY futures 1-minute data and NIFTY option chain data.

The NIFTY index is a weak fill price for the window. During CAS, NSE publishes the actual index with CAS stocks held at their last traded price, plus a separate indicative index close built from indicative auction prices, so the actual index stays flat while auction orders are collected. An index-based backtest that fills at 15:20 IST uses a price nobody could trade.

How much NIFTY futures volume trades after 15:30 IST?

A median 3.0% of front-month NIFTY futures day volume traded in the 15:30–15:39 IST bars over 59 trading days from 3 August to 2 November 2026, with a range of 1.0% to 9.2%. The 15:15–15:29 bars held a median 4.1%. Every one of the 59 days has bars from 09:15 to 15:39 IST.

Method: for each trading day, the NIFTY futures contract with the highest day volume was kept from the Options Data 1-minute files, and the volume of the 15:30–15:39 bars was divided by the day total. The high-to-low range of the front-month contract across the 15:30–15:39 bars had a median of 20 index points and a maximum of 49.8 points.

Is the NIFTY futures closing price the last 1-minute bar?

No. The NSE closing price of NIFTY futures is the volume-weighted average price of trades from 15:10 to 15:40 IST, unchanged by the closing auction, so the last 1-minute bar close is not the official close. A mark-to-market or end-of-day signal in a backtest should use that 30-minute VWAP, not the 15:39 bar.

Measured on Options Data front-month NIFTY futures, 3 August to 2 November 2026, a VWAP built from 15:10–15:39 bar closes weighted by bar volume differed from the 15:39 bar close by a median 7.1 points, with the largest gap at 44.5 points. Bar closes weighted by volume approximate the exchange VWAP, which uses every trade.

import glob, pandas as pd
names = {"timestamp": "datetime", "expiry": "expiry_date", "oi": "open_interest"}
files = sorted(glob.glob("NIFTY_FUT_1min_2026-*.parquet"))
df = pd.concat(pd.read_parquet(f).rename(columns=names) for f in files)
df["datetime"] = pd.to_datetime(df["datetime"])      # IST, bar start
df = df[df["datetime"] >= "2026-08-03"]              # 15:40 F&O close starts
df["day"] = df["datetime"].dt.normalize()
df["hm"] = df["datetime"].dt.strftime("%H:%M")
# front month = the contract with the most volume that day
vol = df.groupby(["day", "expiry_date"])["volume"].sum().reset_index()
df = df.merge(vol.loc[vol.groupby("day")["volume"].idxmax(), ["day", "expiry_date"]])
late = df[df["hm"] >= "15:30"]
share = late.groupby("day")["volume"].sum() / df.groupby("day")["volume"].sum()
w = df[(df["hm"] >= "15:10") & (df["hm"] <= "15:39")]
vwap = (w["close"] * w["volume"]).groupby(w["day"]).sum() / w.groupby("day")["volume"].sum()
last = df[df["hm"] == "15:39"].set_index("day")["close"]
print(share.median(), (vwap - last).abs().median())

How do NIFTY expiring options behave after 15:30 IST on expiry day?

On NIFTY expiry days, expiring options settle on the index closing price, which NSE computes from closing prices of the constituent stocks, so the settlement value is fixed by the closing auction, which stops taking orders by 15:30 IST. Expiring series in Options Data files traded a median 0.5% of their day volume after 15:30 IST, against a median 3.0% for non-expiring series over 29 trading days from 21 September to 2 November 2026.

Method: on six expiry days from 22 September to 27 October 2026, the strike with the most expiring-series volume after 15:30 IST was taken, and strike + call close − put close was computed for every minute. From 15:30 to 15:39 IST that value moved by at most 0.15 points per day; from 15:20 to 15:29 IST it moved by a median 49.5 points.

An expiry-day backtest should therefore treat expiring NIFTY options after 15:30 IST as near their settlement value, and test any 15:30–15:40 IST trade on the next expiry or on futures. The expiry day backtesting data guide lists expiry-day coverage.

Should a NIFTY backtest mix dates before and after 3 August 2026?

A NIFTY backtest that spans 3 August 2026 needs a date-aware session end: F&O files dated before 3 August 2026 end at the 15:29 bar, and files from 3 August 2026 end at the 15:39 bar. A fixed 15:29 cut drops the final ten minutes of every later day; a fixed 15:39 cut finds no bars on earlier days.

The safe split: run closing-window rules separately on pre-auction and post-auction dates, and report both. Options Data NIFTY 1-minute futures cover JAN 2015 → NOV 2026, so both regimes come from the same files; download steps are in the NIFTY futures historical data guide.

Exactly which fields are in the files

Futures files

Column (layout A · layout B)	Type	Meaning
datetime · timestamp	timestamp	Bar start time, IST wall-clock
stock_code · symbol	string	Underlying / contract code
expiry_date · expiry	string	Futures contract expiry
open / high / low / close	float	Traded price OHLC within the bar
volume	int	Volume traded in the bar
open_interest · oi	int	Open interest at that bar

Options files

Column (layout A · layout B)	Type	Meaning
datetime · timestamp	timestamp	Bar start time, IST wall-clock (e.g. 2026-09-10 09:15:00)
stock_code · —	string	Underlying code: NIFTY, or BSESEN for SENSEX
exchange_code · —	string	NFO (NSE F&O) or BFO (BSE F&O)
product_type · —	string	Options
expiry_date · expiry	string	Contract expiry (A: 15-SEP-2026, B: 2026-09-15)
strike_price · strike	number	Strike price
right · option_type	string	A: Call / Put, B: CE / PE
open / high / low / close	float	Traded premium OHLC within the bar
volume	int	Volume traded in the bar
open_interest · oi	int	Open interest at that bar

No Greeks or bid/ask.

Format: Parquet. Validate on the free sample and the schema page before buying.

FAQ

What time do NIFTY futures and options close after 3 August 2026?

NIFTY futures and options trade until 15:40 IST from 3 August 2026, when NSE started its Closing Auction Session. Before that date they closed at 15:30 IST.

Do Options Data NIFTY 1-minute files include 15:30 to 15:40 IST?

Yes. NIFTY futures and options files dated from 3 August 2026 run from the 09:15 bar to the 15:39 bar, and timestamps are IST bar starts.

How is the NIFTY futures closing price calculated after the closing auction?

The NSE closing price of NIFTY futures is the volume-weighted average price of trades between 15:10 and 15:40 IST. The closing auction did not change the method.

Can a backtest buy NIFTY spot at 15:20 IST?

No. The NIFTY index is not tradable, and during the closing auction its stocks trade in the auction, not continuously. Use NIFTY futures or options bars for trades between 15:15 and 15:40 IST.

Do expiring NIFTY options still trade after 15:30 IST on expiry day?

Yes, but little: expiring series traded a median 0.5% of their day volume after 15:30 IST on six expiry days from 22 September to 27 October 2026 in Options Data files.

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