TACT – Closing Auction Trading Phase
During the closing auction phase, the fifth of the TASE trading phases, a closing auction is carried out separately for each security, during which time a price (closing auction price) is determined for each security. During closing auction phase, transactions based on orders submitted during the pre-closing phase are carried out according to the closing auction price. When the process is complete, the closing price is determined (The closing price may be different from the closing auction price).
Calculation of the Closing Auction Price and Trading Turnover
The calculation of the closing auction price and trading turnover for this phase is carried out sequentially for each security. For the purpose of calculating the closing auction price, the order of the securities is random and changes from day to day.
The closing auction price and trading turnover calculation includes all the orders for securities submitted up to the beginning of the closing auction phase, which were not yet implemented. The calculations determined according to the following specifications:
The closing auction price for a security is determined as the price at which the cumulative supply and demand curves intersect and at which the largest trade turnover is achieved.
The base closing auction price is the price of the last transaction during the continuous trading phase or the opening price, as relevant. If transactions equivalent to the base price were not carried out that same day, it is the same as the base price.
If the largest trading turnover is achieved with several prices, the closing auction price is fixed at the price closest to the basic closing auction price.
If no order for a security has been submitted, the closing auction price is fixed at the base closing auction price, and the trading turnover is fixed at 0 (zero).
If the orders submitted were demand only or supply only, the closing auction price will be fixed at the base closing auction price and the closing trading turnover will be 0.
If demand and supply orders were submitted, but no price where the orders intersected can be found, the closing auction price will be fixed at the base closing auction price and the closing trading turnover will be 0.
Priority of Order Execution
The priority of order execution is determined according to the price limitations (first priority) and the time of the order’s receipt, as specified below:
Buy orders limited by a higher price are given higher priority than buy orders limited by a lower price.
Sell orders limited by a lower price are given higher priority than sell orders limited by a higher price.
Orders with the same price limitations are given priority as follows:
Limit orders, Stop-limit orders that have been released in the continuous trading phase and the disclosed portion of the Iceberg order according to the order in which they were received in TACT.
The non-disclosed portion of the Iceberg order - according to the order in which they were received in TACT
During the closing auction phase, the orders are executed in full, one after the other, according to their priority. It is possible, however, that the last order executed may be partially allocated.
Allocation of Orders during the Closing Auction Phase
After the closing auction price for a security is calculated, all the orders given for the implementation of this price are allocated. Orders that may be implemented during the closing auction phase are sell orders with price limitations lower than or equal to the closing auction price; and buy orders with price limitations higher than or equal to the closing auction price.
Due to the prioritizing of the orders, buy orders may not be carried out even if they have price limitations which are higher than the closing price and sell orders may not be carried out even if they have price limitations lower than the fixed closing auction price.
Management of Orders during the Closing Auction Phase
During the closing auction for a particular security, it is not permitted to add, update or cancel orders for this security.
Management of All or Part of the Orders That Were Not Executed
Orders that are not implemented during the closing auction phase are canceled.
Calculation of the Closing Price
The closing prices of the securities are calculated immediately upon closing auction. For securities for which the closing auction trading turnover is sufficiently high, as specified below, the closing price determined will be the same as the closing auction price. In other cases, the closing price will be calculated as a weighted average of the closing auction price and the prices of the latest transactions during the continuous trading phase.
The minimal trading turnovers for calculating the closing price are as follows:
For securities included in the TA-35 index – NIS 400,000
For securities included in the TA-90 index – NIS 200,000
For all the rest of the securities traded in the Equity market and convertible securities – NIS 100,000
For bonds and short-term loans – NIS 400,000
The closing auction trading phase is the last of the trading phases. The phases are:
Pre-opening trading phase
Opening trading phase
Continuous trading phase
Pre-closing trading phase
Closing auction trading phase