To prevent the manipulation of closing prices and to stabilize opening and closing prices, the determination of the closing price is based on the random auction method.
By this method, the SET's trading system will randomly select a closing time between 16:35 – 16:40 hours. Therefore, members will have an extra period from 16:30 to the random closing time to place additional orders which will not be matched or executed until the random closing time. At the random closing time, SET calculates the closing price by the auction method, which is the same method for determining the opening price in the pre-open session. From all the valid orders in the system, the closing price will be determined from:
The price that generates the greatest executable volume.
If there is more than one such price at which there is maximum executable volume, the price with minimum unexecuted volume (“minimum imbalance” or “minimum order surplus”) will be chosen. (See Example 1)
If there is more than one price with minimum imbalance as described in (2) above, the market pressure on the side of the book with the minimum imbalance determines the execution price.
3.1) If all the imbalances are on the buy side, there is a greater demand to buy the security and prices are likely to go up. The higher of the possible limit prices is therefore used as the auction price. (See Example 2)
3.2) If all the imbalances are on the sell side, there is a greater demand to sell the security and prices are likely to go down. The lower of the possible limit prices is therefore used as the auction price. (See Example 3)
3.3) If the imbalances are on both the buy and sell sides, select the two prices nearest to the price level where the imbalance changes sign. Between those two prices, the one closest to the reference price** is used as the auction price. (See Example 5)
3.4) For each price level, if the aggregate buy volume and aggregate sell volume are equal (no imbalance), the potential auction price that is closest to the reference price** (usually the last traded price) will be chosen. (See Example 4)
** For SET, the reference price will always equal the last traded price. If the stock has never traded before, the reference price is the IPO price. If there is no reference price, the highest potential auction price will be chosen.
Note: Since at-the-open (ATO) orders and at-the-close (ATC) orders contain first-matching priority over limit-price order, the system will determine the price of ATO and ATC orders as follows:
For a bid/buy order, price of the order is the higher of highest bid price plus one tick and highest offer price in the order book
For an ask/sell order, price of the order is the lower of the lowest offer price minus one tick and the lowest bid price in the order book
Example 1: Maximum Executable Volume & Minimum Imbalance
Example 2: Buy Pressure [Positive Imbalance (+)]
Example 3: Sell Pressure [Negative Imbalance (–)]
Example 4: For each price level, if aggregate buy volume and aggregate sell volume are equal (no imbalance), the price closest to the last traded price is selected.
Example 5: If there are imbalances on both buy and sell sides, the two prices nearest to the price level where the imbalance changes sign are selected.