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Comment by kasey_junk | Hacker News Reader

“Hammering the close” is a daily occurrence in the commodities markets and has been for as long as they printed a closing price. Lots of market participants are pegged to the closing price so it’s a very attractive target.

The open price is similar and (at least on some symbols) based on a short term auction right before open. Anyone with a data feed sees crazy stuff during those 2 periods.

Getting paid on both sides of your trade though is a special event for a trader.

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Does the exchange publish information about the number of TAS shares on each side prior to the close? Like the auction imbalance info published by NYSE, Arca and Nasdaq (among others).

Edit: or even better, do they publish an estimate of the auction price? I think nasdaq calls it the 'near' imbalance price.

The exchange publishes the details of TAS trades as they happen, but it's not right to think of it as an "auction". Those contracts have already changed hands, just at an undetermined price, so the number of contracts bought will always be the same as the number sold. Probably what you want to know is how many of the TAS contracts were bought/sold by market makers who intend to hedge the trade in the closing minutes of the day, as opposed to speculators who wanted to enter/exit/roll a position.

You can also get a pretty good estimate of the closing price by watching the trade prints during the 2-minute settlement window, which the exchange publishes in real time.

Trade on the close is not just for commodities, FX is the same - big clients would rather get the same official price than pay a bit extra commission for trader to get a good price for them. As for equities if you hold a pension fund you probably bought TSLA on Friday night at the closing price in your index fund.

I think this kind of manipulation would only happen at quarter end, perhaps month end and derivatives expiries. It's otherwise normal to expect price volatility leading up to the auction because traders want to minimize information leakage going into it.

The vast majority of bids entered into the opening and closing crosses occur as close to the submission deadline as physically possible. It's just another speed game, as with almost everything else

That's sort of what I was saying. They're trying to prevent info leakage hence submit at last moment, which causes volatility in expected match. However, it's not the vast majority, most liquidity is there already more than one second before match. Many ppl have archaic systems and don't care about a bit of extra slippage. I've checked this in some detail.

The solution to hammered closed is the volume weighted average price (VWAP) [1].

[1] https://www.investopedia.com/terms/v/vwap.asp

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