Closing auction trading strategy

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What is an auction market? Types of auction The type of auction an exchange would hold depends on the time of day, and the principles of supply and demand. In general, there are three different types of auction: Opening auctions.


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These determine the opening price of an asset on an exchange, by matching buyers with sellers. The most commonly-traded figure becomes the price at which the asset opens on the market Intraday auctions. This type of auction is held throughout the day to match buyers with sellers, and set the price of an asset in accordance with how in demand it is within that session Closing auctions.

What is the auction market process? Build your trading knowledge Discover how to trade with IG Academy, using our series of interactive courses, webinars and seminars. Learn more What is CFD trading? What is forex? An at-auction limit order will be matched in price and time priority at the final IEP. No at-auction limit order will be matched at a price worse than the final IEP. The matching of applicable at-auction orders and at-auction limit orders will occur at the Reference Price instead and the matching mechanism will be same as matching at the IEP.

Any outstanding at-auction limit orders at the end of the Pre-opening Session will be carried forward to the Continuous Trading Session and treated as limit orders provided that the specified price of that at-auction limit order does not deviate 9 times or more from the nominal price.

Stock Trading Volumes Gravitate to Open and Closing Auctions | Greenwich Associates

Such orders will be put in the price queue of the input price. The OTP-C only accepts limit, enhanced limit and special limit orders with an option for an "All-or-Nothing Qualifier" that confines the order to be either executed immediately in full or rejected without being written into the central order book during Continuous Trading Session as long as the order price input into the OTP-C i does not deviate 9 times or more from the nominal price, if available, and ii follows the quotation rules unless the restriction is waived.

At the end of the continuous trading session, all outstanding orders of securities applicable for trading in the closing auction session will be automatically carried forward to the closing auction session provided that the price of buy limit orders is not higher than the allowable upper price limit or the price of sell limit orders is not lower than the allowable lower price limit prescribed for closing auction session.

All outstanding orders carried forward from the continuous trading session to the closing auction session will be treated as at-auction limit orders. A limit order will allow matching only at the specified price. The sell order input price cannot be made at a price below the best bid price, if available whereas the buy order input price cannot be made at a price above the best ask price, if available.

An enhanced limit order will allow matching of up to 10 price queues i.

The sell order input price cannot be made at a price of 10 spreads or more below the current bid price whereas the buy order input price cannot be made at a price of 10 spreads or more above the current ask price. Any outstanding enhanced limit order will be treated as a limit order and put in the price queue of the input price. A special limit order will allow matching of up to 10 price queues i. A special limit order has no restriction on the input price as long as the order input price is at or below the best bid price for a sell order or at or above the best ask price for a buy order.

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The following example illustrates the effect on the central order book if a sell order of K shares of XYZ stock is input at different selling prices and with different order types:. OTP-C currently supports the following public trade types. The first bid or ask order entered into the trading system on each trading day is governed by the opening quotation rule.

The first order if it is a bid must be higher than or equal to the previous closing price minus twenty-four spreads. The first order if it is an ask must be lower than or equal to the previous closing price plus twenty-four spreads. The first order, whether it is a bid or ask, shall not in any case deviate 9 times or more from the previous closing price. Quotations for buy and sell orders other than the opening quotations are governed by another set of quotation rules and a scale of spreads. In particular, a buy order or a sell order shall not be made at a price that deviates 9 times or more from the nominal price.

However, quotation rules in general do not apply to at-auction limit orders, except that a buy at-auction limit order or a sell at-auction limit order shall not be made at a price that deviates 9 times or more from the nominal price. The spread table is available under the Second Schedule of the Rules of the Exchange. During the cooling-off period, trading is allowed within a pre-defined price band.

Normal trading and VCM monitoring will resume after cooling-off period. Under normal operation environment, the closing price of a stock is determined by taking the median of 5 nominal prices in the last minute of the continuous trading session. The system will take up 5 snapshots on the nominal prices at second interval starting from p. The following example will illustrate the calculation:. The five snapshot nominal prices are arranged in ascending order as follows:. The median i. Choosing the median of five snapshot nominal prices ensures that the closing price will not be biased by one single trade.

The nominal price is determined by comparing the current bid price, the current ask price and the last recorded price in accordance with Rule of the Rules of the Exchange. The Reference Price is first determined using the existing closing price calculation method mentioned above.

In the event that an equity issuer announces a share sub-division or a share consolidation or makes changes to its capital structure by way of rights issues, bonus issues, cash dividend payments, etc. If the condition s has not been satisfied or waived if applicable , the entitlement will not be proceeded.

Shareholders and potential investors should exercise caution when dealing in the shares especially on and after the ex-entitlement day until the entitlement becomes unconditional and consult their professional advisers if they are in any doubts. Not Applicable or remained unchanged, as the case may be. The formulas and exceptions that may be used for standard capital adjustment events are set out in the following table, as updated by the Exchange from time to time. Cash dividend, if there is any, may be deducted from the closing price on the last cum date before adjusting for the bonus issue.

X existing share s to be cancelled for every Y existing share s. While every effort is made to ensure the accuracy and completeness of information contained in this guidelines, Hong Kong Exchanges and Clearing Limited and its subsidiaries assume no liability in respect of statements of any nature contained in this document. Errors or omissions, if any, should not be made the basis for any claim, demand, or cause of action. Market Turnover.

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