Uncrossing Trade (UT) and our Friday BIG One30 May 2020 09:42
Here is a great explanation of the closing auction and how we got out UT
An auction consists of two phases; the Call Phase and the Price Determination Phase. During the call phase, orders can be entered, changed or cancelled, but no trades are completed. Essentially during the Call Phase, there is a call for orders. A preliminary indicative price is also found. The subsequent phase is the Price Determination phase. During this stage, no orders can be changed, entered or cancelled. An order-matching algorithm is run which seeks to find a price at which the executable volume is maximised. In other words, the price reached is the price at which the highest volume takes place. Other conditions are also sought after in the final price. A 'minimum surplus' and accurate 'market pressure' are two of these. The final auction price is displayed as an 'Uncrossing Trade' - UT.