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.
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