Are their auction rules the same? When I google for NYSE auction info, I get a lot more information on NYSE Arca than for NYSE, which is confusing since NYSE seems like the larger exchange. In particular, I'm interested in the time at which no more limit on open orders are accepted and suspect it's either 9:28 or 9:29am. The only official source that I've come across that mentions NYSE and not NYSE Arca leaves out this info (https://www.nyse.com/publicdocs/nyse/markets/nyse/NYSE_Opening_and_Closing_Auctions_Fact_Sheet.pdf) . Does anyone know what the time cutoff is?
NYSE Auction vs NYSE Arca Auction
- Thread starter ChadZ1
- Start date
Robert Morse
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I read this" Orders can be entered and cancelled until the security is opened by the DMM, even if order entry or cancellation occurs after 9:30am."
That would suggest the message should be received by the NYSE order book up to 9:29:59 if the open is at 9:30:00. To be honest, to get better information, you should call the NYSE and ask for the help desk. I'm not an expert on this.
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NYSE ARCA: https://www.nyse.com/markets/nyse-arca/trading-info#market
CORE OPEN AUCTION
The Core Open Auction serves as a bridge between the Opening Session and the Core Trading Session. The execution of the Core Open Auction is the first trade of the Core Trading Session. Limit orders eligible for the Opening Session only will be cancelled back prior to the start of the Core Open Auction.
Core Trading Session eligible limit orders, market orders and auction-only limit orders will participate in the Core Open Auction. Orders that participate in the Core Open Auction cannot be canceled between 9:29 a.m. ET and the conclusion of the Core Open Auction. This restriction does not apply to Opening Session-eligible limit orders, because these orders will participate in continuous trading on NYSE Arca between 9:29 a.m. and 9:30 a.m. ET. Core Trading Session-only limit orders, however, cannot be cancelled between 9:29 a.m. and 9:30 a.m.
Market orders that would participate on the same side as a market order imbalance cannot be entered into the Core Open Auction between 9:29.55 a.m. ET and the conclusion of the auction. MOO and LOO orders may not be entered between 9:29:55 and the conclusion of the auction regardless of whether they would offset an imbalance or not. For example, if the aggregate volume of market sell orders in the Core Open Auction is 30,000, and the aggregate volume of buy orders (including market and limit orders) is 25,000 shares, a market order imbalance on the sell side exists — so NYSE Arca will not accept market orders to sell between 9:29.55 a.m. ET and the conclusion of the Core Open Auction. As with the Opening Auction, NYSE Arca will calculate and continually disseminate the indicative match price, the indicative match volume and the auction imbalance. At 9:30 a.m. ET, the Core Open Auction will execute at a single price and all unexecuted orders will be released into the Core Trading Session.
The match price is the price that maximizes the volume that can be executed within the Auction Collars. The Core Open Auction will use the match price closest to the closing price of the previous trading day (based on normal market hours) if more than one indicative match price is valid. Imbalances and indicative match prices in the Core Open Auction reflect market orders only. In the following examples, the limit orders are "auction only" limit orders.
That would suggest the message should be received by the NYSE order book up to 9:29:59 if the open is at 9:30:00. To be honest, to get better information, you should call the NYSE and ask for the help desk. I'm not an expert on this.
--
NYSE ARCA: https://www.nyse.com/markets/nyse-arca/trading-info#market
CORE OPEN AUCTION
The Core Open Auction serves as a bridge between the Opening Session and the Core Trading Session. The execution of the Core Open Auction is the first trade of the Core Trading Session. Limit orders eligible for the Opening Session only will be cancelled back prior to the start of the Core Open Auction.
Core Trading Session eligible limit orders, market orders and auction-only limit orders will participate in the Core Open Auction. Orders that participate in the Core Open Auction cannot be canceled between 9:29 a.m. ET and the conclusion of the Core Open Auction. This restriction does not apply to Opening Session-eligible limit orders, because these orders will participate in continuous trading on NYSE Arca between 9:29 a.m. and 9:30 a.m. ET. Core Trading Session-only limit orders, however, cannot be cancelled between 9:29 a.m. and 9:30 a.m.
Market orders that would participate on the same side as a market order imbalance cannot be entered into the Core Open Auction between 9:29.55 a.m. ET and the conclusion of the auction. MOO and LOO orders may not be entered between 9:29:55 and the conclusion of the auction regardless of whether they would offset an imbalance or not. For example, if the aggregate volume of market sell orders in the Core Open Auction is 30,000, and the aggregate volume of buy orders (including market and limit orders) is 25,000 shares, a market order imbalance on the sell side exists — so NYSE Arca will not accept market orders to sell between 9:29.55 a.m. ET and the conclusion of the Core Open Auction. As with the Opening Auction, NYSE Arca will calculate and continually disseminate the indicative match price, the indicative match volume and the auction imbalance. At 9:30 a.m. ET, the Core Open Auction will execute at a single price and all unexecuted orders will be released into the Core Trading Session.
The match price is the price that maximizes the volume that can be executed within the Auction Collars. The Core Open Auction will use the match price closest to the closing price of the previous trading day (based on normal market hours) if more than one indicative match price is valid. Imbalances and indicative match prices in the Core Open Auction reflect market orders only. In the following examples, the limit orders are "auction only" limit orders.
I find the auction rules ridiculously obtuse