NYSE Closing Auction: Price discovery opportunities reach new highs

More time leads to faster price discovery

Until August 9th, 2024, Closing D-Orders were included in the Closing Auction Imbalance information starting at 3:55 PM. In an effort to further boost transparency and provide greater opportunities to investors for more efficient price discovery, the NYSE moved this time threshold to 3:50 PM starting on August 12th, 2024.

The following chart illustrates the impact of this change on Closing D-Order order entry times. Prior to the change, less than 20% of entered Closing D-Orders were submitted before 3:50 PM. This figure has jumped to over 27% since the change, matching an order entry profile more typical of a rebalance or month-end auction event ('special days' in chart). Moreover, the share of Closing D-Orders submitted in the last 10 seconds of order entry (between 3:59:40 and 3:59:50) has decreased by 70bps during the same period. With Closing D-Order interest included in the Closing Auction Imbalance information at 3:50 PM, investors now have an additional five minutes of complete imbalance information to offset existing imbalances, leading to a reduced need for later order entry.