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2006issue C031

Opening and close auctions versus limit-ladders

Decide in advance whether each price in a limit-ladder is an independent continuous-session filter or a ticket that collapses into one auction single-print. The archive workflow shows that contrast at the open, the close, and during the day.

  • Opening-only buy limits at 22.50, 22.40, 22.35, 22.30, and 22.20 all execute at 22.04 when that is the opening single-print.
  • The same five prices marked market-on-close all execute at 22.04 when that is the closing single-print.
  • In continuous trading, a limit fills at or near its own price, and a trade-through can improve the received price.
  • A preopen-indication of 27 by 27.50 after a prior close of 27 is treated as a signal that the opening print is likely above that close.
Entries in this reading3 entries
Current trackMarket at close10 readingsOpening auction strategy28 readingsLimit order51 readings

One ladder test

Editorial reading: opening-auction strategy, limit-order placement, and market-on-close participation belong in one ladder test. Decide in advance whether each price is an independent continuous-session filter or a ticket that collapses into a single-print.

The opening print and the closing print are the two session moments described as a single price for a listed stock. A limit-ladder that is eligible for either moment does not keep five separate prices.

Opening-only tickets share one print

Opening-only buy limits stacked at 22.50, 22.40, 22.35, 22.30, and 22.20 all execute at 22.04 when that is the opening print. Each working price is a ticket to that single-print, not a fill at its own posted level.

Market-on-close tickets share one print

The same five limits, if marked market-on-close, all execute at 22.04 when that is the closing print. Every accepted ticket receives that session’s single closing print.

Continuous trading keeps each price separate

During continuous trading, a limit fills at or near its own price when the stock trades there, rather than collapsing to one auction print. A large daytime order that walks through several resting limits still fills those orders at their own prices, and a trade-through can improve the received price.

A preopen-indication frames the opening print

A preopen-indication of 27 by 27.50 after a prior close of 27 is treated as a signal that the opening print is likely above that close. Editorial reading: that indication frames whether an opening-only ladder is a set of tickets into a higher single-print, not five independent daytime prices.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
4 of 5 in the Market at close track
20081-1 pp.Next on Market at closeClose imbalance prints as an exit filterA long held into the last half-hour can be kept through a published buy imbalance or flattened immediately on a published sell imbalance, instead of being exited on clock time alone.
All readings on this track · 5 readings
  1. 1993Thursday's last S&P 500 print is not the Friday settlement
  2. 2003Market-at-close orders, leftover imbalance size, and the ex-dividend pairs open
  3. 2004The last hour as a stack of forced executions
  4. 2006Opening and close auctions versus limit-ladders
  5. 2008Close imbalance prints as an exit filter
By fieldAuction and volume75 readingsBy year2006150 readings
All 10 readings tagged Market at close
Also on Market at close5 readings
2006A leftover clock that licenses offset-only market-at-close2008Close imbalance prints as an exit filter2008Opening gap limits and close imbalance orders2012Listed auction imbalance and market-on-close execution1993Thursday's last S&P 500 print is not the Friday settlement