Stats › Intraday and market microstructure › Closing auction
The closing auction
At 16:00 New York time the continuous market stops and every exchange runs an auction. All the on-close orders that have built up during the day get matched at a single price, in one print, and that price becomes the official close. It's the number in the newspaper, the number index providers use, and the number every passive fund on earth is measured against.
Twenty years ago it was a rounding error. It isn't now. And on the handful of days a year when the big indices rebalance, it is the single largest trading event on the planet.
I put this page together because the closing auction share gets quoted constantly and almost nobody attaches the denominator. Depending on what you count, the US answer is somewhere between 4.5% and 12.5%, and the French answer is 53%. Both of those are real numbers from real publishers. Eight sources at the bottom, all dated, with the denominator on every one.
US closing auctions matched $55.5bn a day in Q2 2024, 9.44% of total notional traded, a record at the time per NYSE. The share has roughly tripled since 2010, when Bogousslavsky and Muravyev measured it at 3.1% of daily volume against 7.5% by 2018. Europe runs far higher: the French regulator puts the closing auction at 53% of CAC 40 order book turnover in 2025, up from 36% in 2018, and around a third across all venues. On the Russell reconstitution of 26 Jun 2026 the Nasdaq Closing Cross alone matched 4.59bn shares worth $334bn in 1.63 seconds.
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Below this point there are 8 sections, 1 chart, 1 table and 8 named sources, roughly 2150 words of it. Every figure carries the source it came from and the date the data is from.
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