Yes, Off Market is possible between any DPs (Depository Participants like ICICI, ShareKhan, SHCIL, ILFS,Karvy). This transfer consume OFF market Transaction fees and it vary from DP to DP based your Tariff arrangement. Some fair DPs charge Rs20/- flat a company.
If you opt to close the account by transferring all the holdings to other DP then such a OFF market Transfers should happen at Zero Cost as per the new SEBI guidelines.
SunliMogan