UTs and Auctions....27 Feb 2025 17:43
How do uncrossing trades work?
During an auction, the matching algorithm calculates the price at which the maximum number of shares can be executed.
At the end of the auction, orders that can be matched are executed in an uncrossing.
The uncrossing takes place within a randomized time period, usually within 30 seconds of the end of the auction.
The randomized period varies between exchanges.
Why do uncrossing trades happen?
Auctions are used to execute a large proportion of daily share volume.
Randomizing the uncrossing time reduces the possibility of trading firms manipulating the auction.
When do auctions happen?
Auctions can happen before the market opens, after the market closes, or when the bid and ask prices match.