Close Price Process (End Of Day)

The end-of-day process assesses the market activity for each active asset, and stores the close price for the next day, which is then displayed to the market in the ‘Close’ Column.

Open

How the Closing Price is Determined

This logic defines an asset's closing price. It prioritises trades, then a previous close, and finally bid/offer information.

Market close window parameters

The close calculation takes all order activity into consideration during the close window. The following are our qualifying parameters for evaluation:

• Window Duration: the time period leading up to the close when prices are evaluated. Currently 20 minutes.

• Price Validity: The number of seconds a price must be on screen during the close window to be valid. Currently 60 seconds.

Input Values

• Last Close: The closing price from the prior period.

• Buy Price: The best valid bid price.

• Sell Price: The best valid offer price.

• Trade Price: The price of the most recent trade since the Last Close price was set (the end of the previous trading day). If there are trades within the close window, then the trade price is a Volume Weighted Average Price of all trades within the close window.

1. If There is a Trade

If a recent trade has occurred, the trade price is the primary determinant, unless bid or offered through the last trade.

• With Valid Bid or Offer:

  • If the trade price is higher than the best offer, the close is the best offer price. (Condition: min(trade, sell))

  • If the trade price is lower than the best bid, the close is the best bid price. (Condition: max(trade, buy))

• Without Valid Bid or Offer:

  • The close is the trade price. (Condition: trade)

2. If There is a Previous Close Price

If no trades have occurred, but a previous close price is available, that price is used, adjusted by bid/offer if present. If a close exists, the close price is the primary determinant, unless bid or offered through the close.

• With Valid Bid or Offer:

  • If the previous close is higher than the best offer, the close is the best offer price. (Condition: min(close, sell))

  • If the previous close is lower than the best bid, the close is the best bid price. (Condition: max(close, buy))

• Without Valid Bid or Offer:

  • The close is the previous day's close price. (Condition: repeat)

3. If There are No Trades or Previous Close Price

In the absence of trades or a previous close, bid and offer prices are used if available.

• No Bid or Offer:

  • No close price can be determined.

• With Both Bid and Offer:

  • If the spread is less than or equal to $75: The close is the midpoint between the best bid and best offer prices. (Condition: mid(buy, sell))

  • If the spread is greater than $75: No close price can be determined.

• With Only Bid OR Offer (single side):

  • No close price can be determined.