Clarification Required – NIFTY 200 & NIFTY 500 Index Rebalancing Issue in MIP Simulator

[Rajkumar Shanmugam-1791438149331]

Hi Team,

We have identified an issue with the NIFTY 200 and NIFTY 500 index rebalancing in the MIP Simulator.

As per our observation, the updated index constituents are reflected based on the September 30 EOD closing data.

Your support team suggested that we run the scan during pre-market hours on the rebalancing day and execute entries and exits at market opening.

However, we have the following concerns:

1. Our virtual basket is created using real-time EOD-based data.
2. We need our actual portfolio positions to match the simulator's positions as of the rebalancing day EOD.
3. If the index constituents are updated only after the September 30 market close, how can the pre-market scan identify those updated constituents before market opening?
4. If we execute at market opening using the pre-market scan, will those positions exactly match the simulator's rebalance-day EOD positions?
5. Does the simulator use the index constituents available at market opening or the updated constituents available at EOD?

We are not experiencing this issue with other indices. The mismatch occurs specifically with NIFTY 200 and NIFTY 500 when their constituents are updated.

Our main concern: We want to ensure that our live portfolio and simulator portfolio use the same index constituents and generate matching positions on the rebalancing date, without any look-ahead bias.

Could you please explain the correct workflow and confirm whether the simulator's rebalancing logic can be replicated in live trading?

If possible, please provide an example using the September 30 rebalance.

Thank you.