2006issue C101-2
A leftover clock that licenses offset-only market-at-close
The open and the close can be mapped as scheduled matching sessions. On the NYSE, leftover close size is published at 3:40 p.m. Eastern, after which new market-at-close orders may only reduce that leftover. Editorial interpretation: the first print licenses the offsetting side only, and the 3:50 p.m. Eastern update can revoke that license before the official close.
- An opening auction strategy treats the open as a scheduled matching session. A closing auction strategy treats leftover publication, cutoff times, and offset-only participation as one matching rule.
- After the 3:40 p.m. Eastern leftover print, a market-at-close order may join only on the side that reduces the close imbalance. New size may not enlarge that leftover.
- The 3:50 p.m. Eastern second-publication cutoff can shrink or cancel leftover size. If leftover size disappears, new market-at-close entry stops.
- Published leftovers are also used as end-of-session information for names already traded, even when no market-at-close order is sent.
Two scheduled matching sessions
An opening auction strategy is a testable procedure that treats the open as a scheduled matching session whose published size, offset rules, and stand-aside choice are evaluated together.
A closing auction strategy is a testable end-of-day procedure that treats leftover publication, cutoff times, and offset-only participation as one matching rule.
Editorial interpretation: those two procedures are the same matching idea at both ends of the session. The rest of this article isolates the close leftover clock that decides whether a market-at-close order may still enter.
The first leftover publication
On the NYSE, market-at-close interest is taken through the session until 3:40 p.m. Eastern, when leftover buy versus sell size is published as an imbalance.
A close imbalance is the leftover buy or sell quantity at the close after opposite market-at-close interest is netted. A one-million-share close sell against a five-hundred-thousand-share close buy leaves a five-hundred-thousand-share sell leftover, so only buy market-at-close interest may then join.
Offset-only participation
A market-at-close order accepts the official closing price and, after leftover size is shown, may be used only on the side that reduces that leftover.
After that 3:40 p.m. Eastern publication, new market-at-close orders may only reduce the leftover size. They may not enlarge it. Offset-only participation is that post-publication rule.
The second leftover publication
Leftover size is published again at 3:50 p.m. Eastern and often shrinks or disappears. If it disappears, new market-at-close entry stops.
The second-publication cutoff is that later close update. It can shrink or cancel leftover size and, if leftover size disappears, it ends new market-at-close entry.
Editorial interpretation: the later print can revoke the earlier license before the official close.
Leftovers as information, a pairing, and go-along prints
Published close leftovers are also used as end-of-session information for names already traded, even when no market-at-close order is sent.
After a published sell leftover, one described pairing is to sell first in continuous trading, then send a market-at-close buy so the pair finishes at the official close after 4 p.m.
Adjacent tape prints of the same share count at the same price are described as go-along matching that copies executed size rather than starting a new trade. A go-along print is that copied quantity: matching size and price next to an already executed print, not a new initiating trade.
A different NASDAQ treatment
The described close leftover publication and offset-only rule is not applied the same way on NASDAQ.
All readings on this track · 10 readings
- 2003Listed auction accommodation and open-book execution
- 2004Reading auction signals to choose an open, a close, or a VWAP path
- 2006A leftover clock that licenses offset-only market-at-close
- 2007Carry-adjusted index premium for auction execution
- 2008Two clocks on a public small-cap membership reset
- 2008Opening gap limits and close imbalance orders
- 2010Closing auction snapshots, fair value and pivot levels
- 2012Listed auction imbalance and market-on-close execution
- 2013Taking liquidity to offset HFT queue priority
- 2014Sizing opening and closing auction orders to volume