Auctions and halt periods

[scarletyoke]

I had a few questions:

1. What exactly happens during the auction period after close of markets, at exchanges like LSE.
2. How does a market decide when to halt trading. What are its effects on prices. What happens to pending orders before halt.
3. How is it that the Google Finance (e.g.) is able to give prices of stocks even after the market closes.

Couldn't find conclusive answers online. Would really appreciate help here.

Thanks
J

 

[foredog]

The answers are in the equity or level2 forums if you look but here's a brief recap

1 The Lse computer runs a program that calculates at which price the most shares can be execute.

2 In LSE there is an auction at the start of the day 8am and the end 1630-1635 and also on the 2nd (i think) Friday of the month at 1010am for options expiry. other the opening auction is extended if the uncrossing price is 5%+ from the previous close, the closing auction extended if 5%+ from last auto trade.

Intra day trading halt/auctions occur if the price trades on the order book 10% from the opening price (or last auction). All limit orders are still valid during this period and you can also enter Market Orders to execute at the uncrossing price (these may show as 0 priced on some level 2)

3 Don't know, either an hours delay so you see the 4pm price at 5pm or it just shows the last price.

 

[raysor]

I am still not 100% after reading a LSE PDF file about the auctions. The market shuts at 16.30 and I believe the VWAP, which is constantly calculated is used as the "closing" price. Then the auction starts. The orders (mkt & limits) that are on the book at 16.30 go into the auction and any new orders that are input after 16.30. Orders can be market, limits, timebombs just as in ordinary trading. Orders can also be taken out (cancelled). The auction ends (I think I am right here) at 16.34 plus a random amount of seconds up to 60. Then all the bargains that can be matched plus limits that can be matched are matched and this gives the uncrossing price. I am not sure of the closing auction but at other tmes you can have two consecutive auctions, but I am not sure if some auctions are just for market particpants (MMs etc.).
If anyone is interested in an explanation of level2 screen I have just started one on my website below. It should be fun and I am not sure if I know all the items on a level2 screen even though I look at it daily. But what I don't know I will find out-I won't give any duff info!

 

[foredog]

I am still not 100% after reading a LSE PDF file about the auctions. The market shuts at 16.30 and I believe the VWAP, which is constantly calculated is used as the "closing" price. Then the auction starts. The orders (mkt & limits) that are on the book at 16.30 go into the auction and any new orders that are input after 16.30. Orders can be market, limits, timebombs just as in ordinary trading. Orders can also be taken out (cancelled). The auction ends (I think I am right here) at 16.34 plus a random amount of seconds up to 60. Then all the bargains that can be matched plus limits that can be matched are matched and this gives the uncrossing price. I am not sure of the closing auction but at other tmes you can have two consecutive auctions, but I am not sure if some auctions are just for market particpants (MMs etc.).

Nothing to do with VWAP at all, last AT (automatic trade) before the auction starts is the reference price for the auction.

Anyone with DMA can participate in auctions. If the auction price is more than 5% from the last price then there is a second auction.

Eg 1629 XYZ trade at 100, at 1635 the auction price is 106, above the 5% so there is a second auction

 

[raysor]

Nothing to do with VWAP at all, last AT (automatic trade) before the auction starts is the reference price for the auction.

Anyone with DMA can participate in auctions. If the auction price is more than 5% from the last price then there is a second auction.

Eg 1629 XYZ trade at 100, at 1635 the auction price is 106, above the 5% so there is a second auction

No, I didn't say the VWAP had anything to do with the auction. I said (and I may still be wrong) that the VWAP is used as the closing price and to establish the closing index. Why and how is the last AT used as a reference point? Could you explain that to me?

 

[foredog]

The VWAP is irrelevant to the closing price, look at WPP.l the Vwap is 355 but the closing price is going to be the auction price which will be around 343.


THe last trade before the auction is used when the LSE computer calculates if the auction price is 5% or more from that last price and if it needs a second auction.

 

[raysor]

The VWAP is irrelevant to the closing price, look at WPP.l the Vwap is 355 but the closing price is going to be the auction price which will be around 343.


THe last trade before the auction is used when the LSE computer calculates if the auction price is 5% or more from that last price and if it needs a second auction.

Surely the close is 16.30? So what is the closing price? Surely these are pre-market and post-market auctions?
If you spoof me on that one i'll give up!

 

[foredog]

No, the official close is the 1635 auction price, the same as the opening price will be the opening auction price, not the first price traded after the auction.

Much simpler when it was just Market makers and none of these silly auctions!

 

[raysor]

No, the official close is the 1635 auction price, the same as the opening price will be the opening auction price, not the first price traded after the auction.

Much simpler when it was just Market makers and none of these silly auctions!

Excellent! Oh well,I don't feel so bad, even Wikipedia got it wrong!

If I have done it right there should be a PDF attached with a bit more info, if you haven't already seen it.

 

[foredog]

No worries, Wikipedia seems good as a guide but i would'nt believe everything i read there........