ASX same day close system

[ScottMcNab]

Hi Brent,
Have you had any positions remain open as they did not participate in the closing auction due to being outside of the limits ? Does this, in turn, result in the increased holding time you referred to ?

[Anonymous]

So far all of my positions have been closed as expected in the closing auction.

I have been cross checking the floor price with the closing print, and thus far, all closing prices have been well above the floor price.

As far as I can tell, the only time the floor would come into play would be if there is some big market or stock specific news item that comes out after continuous trade closes and ahead of the closing print, or if some large seller wakes up late and decides they have something to do (this would generally stem from a mistake in my opinion). I haven’t ever seen this happen (not that it couldn’t).

As an aside, I have been working as an execution trader for a small handful of hedge funds for the past 4 years, executing their Asian exposure. In my tenure at this job, I have noticed that the closing print in AU prints around the closing price of continuous trade most of the time – sometimes there is a big move, but for the most part the auction and close of continuous trade are fairly in line. If an institution has something big to do, it behooves them to execute as much as possible during continuous trade as not to move the price on themselves on the close. When I have worked sizable orders in AU, we never wanted to be more than ~20% of the expected closing auction volume – if we were going to be any more than that, we would usually just hold the balance of the order for the next session.

[ScottMcNab]

Hi Brent,

I had a few instances where my sell order (based on the entry price) fell outside the price cap IB use (>10% intraday move from entry price) and hence were not executed. I was having to check the asx between 16:02 and 16:10 when I was still trading it and amend my sell price…..my knowledge is poor however and I may have been missing something ?

I found some useful information in the post below (mixed in with a lot of rage)

https://www.elitetrader.com/et/threads/interactive-brokers-implements-price-caps.302752/

The solution would have been to subscribe to live data but with a small account the monthly fee would have been significant on the annual return (unless you can get a deal like Julian)

[ScottMcNab]

Brent,
I think I was wrong but will investigate further and post in the next few days. I placed a sell limit way below the band today, got the warning but then the sell order was executed at the close no problem.

[TrentRothall]

I forgot to add in the call last night Scott that i get that msg every day before the open on any sells i have placed. They all get filled though.

[Anonymous]

Scott – I continue to exit positions in AU in this way and I have yet to carry a position overnight. Knock on wood

[ScottMcNab]

I blame my system…not me of course…I got stuck with GMA.au recently… got out a few days later at 2.99 which is higher than would have if same day close had filled I guess …pretty rare occurrence over last 6months

[Author]

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