What is the risk of doing BTST?

There is a small risk of short delivery. It only happens when the buyer you bought the shares from does not give you delivery of the stock before the end of the day next day.

There is no fixed penalty for short delivery. The difference of price at which exchange buys stock in the auction and your selling price, the difference you have to make good of. On auction day, it depends on the price of stock and liquidity. Sometimes it can be 20% higher, sometimes 0.