IF I SHORT SELL A SHARE XYZ @10 ON MARGIN. AND LATER IF ITS PRICE BECOME Rs. 20. THEN IF I DECIDE NOT TO SQURE OFF MY POSION BUT RATHER CONVERT IT INTO DELIVERY. AT WHAT RATE WILL I BUY THE SHARES Rs. 10 OR Rs. 20 ?
Short selling is possible only when you do not have shares in your account. So I do not think of a possibility of giving delivery of short sold shares.
Situation is different if you have shares in your account. In such cases (i.e. when you sold shares while having them in your account) you will have to give delivery.
In any case, you have to decide before the closure of the market on the day on which you sold them. To square up your position or to give delivery. You do not have a third choice. But rules regarding auction are very stringent. Incase you do not give delivery of shares sold by you, you are exposing yourself to extreme risks. I never ever advice such a thing to any one.
In nutshell, give delivery of shares if you have them in your account. In case you donot have them, then ensure that you square up your position before the closure of the market for the day.