Thought Leadership

NYSE Research Article on Closing Auction Order Impact

The NYSE has issued a new research article, Closing Auction Order Impact: Size Opportunities Late in the Day, examining the market impact of large orders in the NYSE Closing Auction.  Some of the findings of the article include:

  • Price Impact: On standard days, most large auction orders submitted in the last 5 minutes have a market impact of less than 1X the stock’s average spread, but on rebalance days the market price is more sensitive to increases in imbalance quantity.
  • Liquidity: The largest orders entering the auction tend to be less than 60% of the displayed total imbalance and paired volume, except for rebalance days when they are above 70%.
  • Trading Approach:  Leverage flexibility and size capacity on standard days, and submit orders early on rebalances to allow offsetting interest to enter the market.

For further Data Insight articles, please see NYSE Data Insights.