كتاب صلاة المسافرين وقصرها
6  
The Book of Prayer - Travellers
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Chapter: It is disliked to start a voluntary prayer after the Mu’adhdhin has started to say Iqamah for prayer, whether that is a regular sunnah, such as the sunnah of Subh or Zuhr, or anything else, and regardless of whether he knows that he will catch up with the rak`ah with the Imam or not
(9)
باب كَرَاهَةِ الشُّرُوعِ فِي نَافِلَةٍ بَعْدَ شُرُوعِ الْمُؤَذِّنِ ‏
Sahih Muslim 711 b

Ibn Buhaina reported:

The dawn prayer had commenced when the Messen- ger of Allah (ﷺ) saw a person observing prayer, whereas the Mu'adhdhin had pronounced the Iqama. Upon this he (the Holy Prophet) remarked: Do you say four (rak'ahs) of Fard in the dawn prayer?
حَدَّثَنَا قُتَيْبَةُ بْنُ سَعِيدٍ، حَدَّثَنَا أَبُو عَوَانَةَ، عَنْ سَعْدِ بْنِ إِبْرَاهِيمَ، عَنْ حَفْصِ بْنِ عَاصِمٍ، عَنِ ابْنِ بُحَيْنَةَ، قَالَ أُقِيمَتْ صَلاَةُ الصُّبْحِ فَرَأَى رَسُولُ اللَّهِ صلى الله عليه وسلم رَجُلاً يُصَلِّي وَالْمُؤَذِّنُ يُقِيمُ فَقَالَ ‏ "‏ أَتُصَلِّي الصُّبْحَ أَرْبَعًا ‏"‏ ‏.‏
Reference : Sahih Muslim 711b
In-book reference : Book 6, Hadith 80
USC-MSA web (English) reference : Book 4, Hadith 1536
  (deprecated numbering scheme)