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The Closing AuctionThe VWAP period (1) commences at 16:20 and lasts for 10 minutes. The closing auction call (2) commences at 16:30 and lasts for five minutes, plus a random end time of up to 30 seconds. The system then determines whether a matching price can be calculated for each SETS security. Five scenarios are possible (3a-3e). Extensions may be invoked depending on whether market orders are left unexecuted or if the potential uncrossing price is outside the price monitoring tolerance (based upon the 10 minute VWAP reference price). Up to two extensions per security are allowed - one market order extension and one price monitoring extension. If at the end of the auction call (including extensions) the potential uncrossing price is still outside the price monitoring tolerance, then a volume check is performed, based on half the Normal Market Size of each security (or a minimum 2500 shares). If the auction match volume is sufficient the matching price will form the closing price, otherwise the VWAP, or if there are no trades in the VWAP period then the last AT forms the closing price.
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