Closing-Cross Price

Install and import#

npm install fintech-algorithms

import { closingCrossPrice } from "fintech-algorithms/matching-engines-and-venue-logic/auctions/closing-cross-price";

Signature#

closingCrossPrice(orders, reference, tick, low, high)

The closing auction, which sets the price index funds actually trade at. Same criteria as the open, different reference and typically a tighter permitted band.

Parameters#

Returns#

{ price, volume, imbalance, criterion_applied, … }

The closing price with the deciding criterion.

Errors#

• When low exceeds high, or no order crosses — reported as a status rather than thrown

Complexity: time O(orders log orders), space O(prices).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

[
  {
    "order_id": "MOC-B",
    "side": "buy",
    "order_type": "MOC",
    "price": null,
    "quantity": 300,
    "arrival_sequence": 10
  },
  {
    "order_id": "LOC-B101",
    "side": "buy",
    "order_type": "LOC",
    "price": 101,
    "quantity": 350,
    "arrival_sequence": 20
  },
  {
    "order_id": "DAY-B100",
    "side": "buy",
    "order_type": "DAY",
    "price": 100,
    "quantity": 250,
    "arrival_sequence": 30
  }
]

Showing 3 of 7 elements.

100

1

95

105

Call#

closingCrossPrice(orders, reference, tick, low, high)

Returns#

object with 15 fields: model, session, reference_price, collar_low, collar_high, eligible_order_count, selected_price, executed_quantity, …

{
  "model": "declared-closing-cross",
  "session": "closing",
  "reference_price": 100,
  "collar_low": 95,
  "collar_high": 105,
  "eligible_order_count": 7,
  "selected_price": 100,
  "executed_quantity": 700,
  "buy_quantity": 900,
  "sell_quantity": 700,
  "imbalance_quantity": 200,
  "imbalance_side": "buy",
  "selection_trace": [
    "maximize executable quantity at 700",
    "minimize absolute imbalance at 200",
    "the objective hierarchy leaves one price"
  ],
  "candidate_evaluations": [
    {
      "price": 99,
      "buy_quantity": 900,
      "sell_quantity": 400,
      "executable_quantity": 400,
      "imbalance_quantity": 500,
      "absolute_imbalance": 500,
      "imbalance_side": "buy"
    },
    {
      "price": 100,
      "buy_quantity": 900,
      "sell_quantity": 700,
      "executable_quantity": 700,
      "imbalance_quantity": 200,
      "absolute_imbalance": 200,
      "imbalance_side": "buy"
    },
    {
      "price": 101,
      "buy_quantity": 650,
      "sell_quantity": 1150,
      "executable_quantity": 650,
      "imbalance_quantity": -500,
      "absolute_imbalance": 500,
      "imbalance_side": "sell"
    }
  ]
}

Showing 14 of 15 fields.

Other exports#

This module also exports maximumExecutableVolumeAuction, minimumImbalanceTieBreak, openingCrossPrice, volatilityAuctionReopening, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams#

Calculation flow#

flowchart LR
    S1["Validate MOC LOC and DAY eligibility"]
    S2["Build candidates inside the closing collar"]
    S3["Maximize executable quantity"]
    S4["Minimize imbalance then apply surplusreference rules"]
    S5["Return closing price volume imbalance and trace"]
    S1 --> S2
    S2 --> S3
    S3 --> S4
    S4 --> S5
    S5 --> D{"closingonly eligibility and a nocross officialprice gap"}
    D --> O["selected_price + diagnostics"]
    O --> A["Audit: Openingonly MOO and LOO orders are unsupported"]

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• Nasdaq Equity 4 Trading Rules — The Nasdaq Stock Market LLC
• The Nasdaq Opening and Closing Crosses — Nasdaq Trader
• The Nasdaq Stock Market System Settings — Nasdaq Trader
• T7 Release 14.0 Functional Reference, Version 3 — Deutsche Börse Group
• Introduction of T7 Release 14.1 — Deutsche Börse Cash Market
• Evidence boundary

The rest of the Auctions family#

• Maximum-Executable-Volume AuctionFinds the price that crosses the most volume — the first and most important auction criterion.
• Minimum-Imbalance Tie-BreakApplies the second auction criterion: among prices crossing equal volume, choose the one leaving the least unfilled imbalance.
• Opening-Cross PriceRuns the full opening auction: maximum volume, minimum imbalance, then reference-price proximity, bounded by the permitted pric…
• Volatility-Auction ReopeningDetermines the reopening price after a volatility halt, including whether the auction may conclude at all or must be extended.