Closing auction

Closing auction could be interesting for:

• Foreign mutual and index funds, who use the closing price of the auction for the purpose of revaluation of portfolios.
• Russian management companies

The main tasks of the auction closing:

• Determination on the basis of trading representative closing price in the main trading mode T+
• The closing price is equal to the closing price of the auction held at the end of the trading period, and is the official closing stock price at the trading on Moscow Exchange.

The closing price is used for the suspension of trading (control deviation of the current price from the closing price), as well as the limiter at the conclusion of a broker margin and unsecured transactions and sale of securities.

Advantages:

• Opportunity to send orders "in the auction" ("Limit-on-close", "Market-on-close") during the trading period for participation in the closing auction. Such orders have a priority compared to the limit and market orders accordingly.
• Opportunity to send market orders. Such orders have the highest priority in terms of execution in comparison to the limit orders, which were sent by the participants during the closing auction.
• Closing auction permits to determine the representative closing price. Calculation of the closing price is performed only in accordance with the auction results.
• Elimination of the possibility for artificial over-/understatement of the market price due to the new algorithm of the closing auction conduction (principle of the closing auction random ending), which excludes the probability of sending an order which can significantly change auction price in the last moment.

Closing auction time phases (without activation of the additional phase):

• Collection of orders: 18:40:01 – 18:45:(00-29) (MSK time)
• Determination of the closing price and orders execution: 18:45:00 –18:45:29 (MSK time)
• Execution of trades at the closing auction price: 18:45:00 – 18:50:00 (MSK time)

Closing auction time phases (when additional phase is activated):

• Collection of orders: 18:40:01 – 18:45:(00-29)  (MSK time)
• Order collection extension: 18:45:(00-29) – 18:48:(00-59) (MSK time)  
• Determination of the closing price and orders execution: 18:48:(00-59) (MSK time)  
• Execution of trades at the closing auction price: 18:48:00 – 18:50:00 (MSK time)

Description of the closing auction phases

Phase of collection of orders for the auction (Call-phase):

• Transfer of unexecuted limit orders from the trading period
• Activation of the order types "Market-on-close"
• Activation of the order types "Limit-on-close"
• Input of the order types "market order"  
• Input of the order types "limit order"
• Removal of the orders which do not satisfy auction parameters (for example, parameter regarding price deviation)  

Phase of order collection extension for the auction (Call-phase extension is activated under non-fulfillment of the terms for determination of the closing auction price):

• Orders collecting in the first phase is used
• Input of the order types "market order"  
• Input of the order types "limit order"
• Possibility to remove the orders sent earlier  

Determination of the closing auction price after the end of the call-phase and orders execution with the closing price 

Execution of trades phase at the closing auction price:

• Transfer of the unexecuted market and limit orders from the phase of "call-phases"
• Input of the limit orders with the closing auction price
• Uninterrupted deals executions (under condition of the cross orders presence) with the closing price