RE: SP up 7%7 Jan 2026 07:58
Swingman
The following provides a simple example of an uncrossing trade on the LSE
The LSE's closing auction has a "call period" where investors can place, modify, or cancel buy and sell orders usually limit orders. The system calculates an "indicative uncrossing price" throughout this period to show where the market would currently clear.
Simple example of an Order Book during the Call Period
At the end of the auction's call period (around 16:35), the order book looks like this:
Buy Orders Price Sell Orders Price
15,000 shares 105p 10,000 shares 102p
20,000 shares 104p 30,000 shares 103p
50,000 shares 103p 40,000 shares 104p
The LSE's algorithm determines the single price that maximizes the total executable volume.
At 102p: All sell orders (10,000) can be matched against a portion of the buy orders (85,000 in total at or above this price). Matched volume: 10,000 shares.
At 103p: Sell orders at 102p and 103p (total 40,000) can be matched against buy orders at 103p, 104p, and 105p (total 85,000). Matched volume: 40,000 shares.
At 104p: Sell orders at 102p, 103p, and 104p (total 80,000) can be matched against buy orders at 104p and 105p (total 35,000). Matched volume: 35,000 shares.
At 105p: All buy orders (15,000) can be matched against a portion of the sell orders (80,000 total at or below this price). Matched volume: 15,000 shares.
The price that maximizes the matched volume is 103p, with 40,000 shares traded.
At a random time after 4:35 PM (within a 30-second window), the auction "uncrosses" at the price of 103p.
All 40,000 shares are executed at a single price of 103p. This transaction appears on the market data feed with the trade code "UT" (Uncrossing Trade).
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