NYSE Arca Equities

Overview Eligible Securities
Trading HoursAuctions  | Types of Orders | Order Processing | Erroneous Execution Policy | ClearingFeesConnectivity

Opening Auctions | Closing Auctions | Daily Price

Similar to NYSE Arca’s current Opening Auction, the Closing Auction is a single-price Dutch auction that matches buy and sell orders at the price that maximizes the amount of tradable stock. NYSE Arca will calculate and continually disseminate the indicative closing price, indicative closing volume and the auction imbalance prior to the start of the Closing Auction, which occurs every trading day at 4:00 p.m. ET.

Closing Auction Timeline (all Eastern Time)
9:30 AM   Initial order collection
3:00 PM   Initial broadcast of imbalance information
3:59 PM   Freeze period begins
4:00 PM   Auction run/closing price disseminated

The NYSE Arca trading platform will only accept Market On Close (MOC) and Limit on Close (LOC) orders for NYSE Arca exclusive securities.

The non-displayed portions of discretionary orders will not participate in the NYSE Arca Closing Auction. Between 3:59 and 4:00 p.m. ET (the freeze period), MOC and LOC orders cannot be cancelled. MOC and LOC orders that do not increase or flip the imbalance will be accepted for Auction processing (e.g. if there is a buy imbalance, no buy MOC or LOC orders will be accepted) during the freeze. Orders participating in Core Trading can be cancelled during the freeze period. Additionally, Market Orders entered during Core Trading that are not identified as MOC orders will not be included in auction calculations or participate in the Closing Auction.

Freeze Example:

  • A 500 share sell imbalance exists at 3:59 p.m. ET
  • An MOC or LOC to buy 500 shares would be permitted because it achieves equilibrium. However, an MOC or LOC order to buy 1,000 shares would not be permitted as it would inverse the imbalance of 500 shares on the sell side to an imbalance of 500 shares on the buy side.

Any imbalance in the Closing Auction may be reduced by new orders, entered on the side of the market opposite the imbalance, using the following priority order:

  • Market-on-Close Orders
  • Limit-on-Close Orders

The MOC orders that are eligible for, but not executed in, the Closing Auction shall be cancelled immediately upon conclusion of the Closing Auction.

Publishing Order Imbalances
Beginning at 3:00 p.m. ET and updated real-time thereafter, the Indicative Match Price, the volume to trade at that point, and any order imbalances associated with the Closing Auction, if any, will be published by NYSE Arca in both the ArcaBooksm data feed and on the website. The following information will be published:

  • Market Imbalance — the imbalance of any remaining buy (sell) MOC orders that are not already matched for execution in the auction.
  • Total Imbalance Reflects the total net imbalance of MOC, LOC and orders displayed in the ArcaBook.
  • Matched Volume — The volume already matched for execution at the indicative match price.
  • Indicative Match Price — The price at which the maximum volume of shares are executable.

Determining Closing Auction Price
Until the time the Closing Auction is run, orders entered in the Core Session will continue to trade in the Core Session. At 4:00 p.m. ET all orders entered for the Closing Auction in addition to all displayed orders in the ArcaBook will be included in the Closing Auction.

  • If there is no order imbalances, orders will be executed in the Closing Auction at the Indicative Match Price as of 4:00 p.m. ET. The indicative match price will be the price at which the maximum number of shares in the total imbalance can execute.
  • If there are multiple prices at which the total imbalance can equally execute, the indicative price will be based on the price closest to the last sale.
  • If the price closest to the last sale would trade through the ArcaBook, the indicative match price will be the best price available where no trade through occurs.

If an imbalance exists, or if equilibrium exists between buy MOC orders and sell MOC orders and an Indicative Match Price doesn’t exist, as many buy MOC orders and sell MOC orders as possible shall be matched on a time-priority basis:

  • At the midpoint of the NBBO at 4:00 p.m. ET, provided that the NBBO of the market centers that are still open is not locked or crossed.
  • At the locked price if the NBBO is locked at 4:00 p.m. ET
  • At the bid (offer) side of the BBO which is crossed with the NBBO, if the NBBO is crossed at 4:00 p.m. ET and NYSE Arca is a party to the crossed market
  • At the last sale during the regular market hours as determined by the consolidated tape, if the NBBO is crossed at 4:00 p.m. ET and NYSE Arca is not a party to the crossed market.

Example 1:

Buy Volume Price Sell Volume Order Description
1,000 Market   MOC
  $10.15 5,000 Continuous Trading
4,000 $10.05   LOC
5,000 $10.00   Continuous Trading
  Market 5,000 MOC

The following information will be disseminated via the ArcaBook data feed and displayed on NYSE Arca’s Auction web page:

  • Market Order Imbalance: 0 (all market orders matched with existing orders)
  • Indicative Match Price: $10.05 (the most aggressively priced limit order to fill the entire imbalance)
  • Market Volume: 5,000 shares (at the indicative match price, the following orders are matched: 5,000 shares MOC to sell; 1,000 shares MOC to buy; 4,000 share LOC to buy)
  • Total Imbalance: 0 (there are no remaining shares to buy or sell stock at the indicative match price)

In this example, the 4,000-share LOC order has priced the auction at $10.05 (placing the order ahead of the bid in NYSE Arca’s continuous trading system) by providing the most competitive price for the 4,000-share sell imbalance.

Example 2:

Buy Volume Price Sell Volume Order Description
1,000 $50.00   LOC
  $49.75 5,000 LOC
  Market 2,000 MOC

The following information will be disseminated via the ArcaBook data feed and displayed on NYSE Arca’s Auction web page:


  • Market Order Imbalance: 1,000 shares to sell (2,000 share MOC to sell minus 1,000 shares LOC to buy)
  • Indicative Match Price: $49.75 (the LOC at $49.75 sets the price)
  • Matched Volume: 1,000 shares
  • Total Imbalance: 6,000 shares (there are 1,000 shares to buy and 7,000 shares to sell)

In this example, the 5,000-share LOC to sell has priced the auction at $49.75 though it would not participate in the auction if it were run with only these three orders.

Example 3:

Buy Volume Price Sell Volume Order Description
3,000 Market   MOC
  Market 1,000 MOC
  $41.00 1,000 LOC
  $41.25 1,000 LOC


The Consolidated Tape last sale was $41.25. The following information will be disseminated via the ArcaBook data feed and displayed on NYSE Arca’s auction web page:
  • Market Order Imbalance: 0 (3,000 shares MOC to buy equals 3,000 MOC and LOC shares to sell)
  • Indicative Match Price: $41.25 (price closest to the last sale)
  • Matched Volume: 3,000 shares (3,000 shares MOC to buy equals 3,000 MOC and LOC shares to sell
  • Total Imbalance: 0 (3,000 shares MOC to buy equals 3,000 MOC and LOC shares to sell)

Since there are multiple prices at which the total imbalance can be equally executed in this example, the last sale is used to determine the auction price.

Closing Auction Price Collars
The Closing Auction will not execute at a price that is greater than 10% away from the consolidated last sale for stocks priced $10 and above or 25% away from the consolidated last sale for stocks priced under $10. The Closing Auction will automatically execute eligible orders within the parameters of the policy


Example

  • If the consolidated last sale is $20, the Closing Auction could only execute between $18 and $22 (plus or minus 10% from the last sale of $20).
  • If the consolidated last sale is $5, the Closing Auction could only execute between $3.75 and $6.25 (plus or minus 25% from the last sale of $5).

NYSE Arca may change these thresholds periodically upon prior notice to ETP Holders.

Reporting Trades
All trades that participated in the closing auction will be reported to the tape as regular-way trades. In addition, NYSE Arca will disseminate the Core Closing Price to the Consolidated Tape with the *.M* extention — which will include both the official closing price and the volume of shares executed in the closing auction. For example, if 10,000 shares of ADY are matched in the closing auction at $25.00, resulting in five regular way prints of 2,000 shares each, there will be an additional *.M* print showing 10,000 shares @ 25.00.