The first of the London Stock Exchange’s daily intra-day auctions will take place on Monday (March 21 at 12:00 UK time (13.00 CET). It says these have been designed to provide new benchmarking opportunities for fund mangers and a process for managing impending MiFID II volume caps.
During the two-minute auction, continuous trading of all stock exchange electronic trading service equities will be paused allowing the whole market the opportunity to take part.
At 12:00, all orders that have been submitted for that specific auction will be injected immediately. Orders may then be entered, modified and deleted during an auction call, but no automated execution occurs.
Throughout the entire period the LSE will only disseminate the most up to date indicative auction uncrossing price and size and not the full order book. This will be updated whenever orders are added, deleted or modified. At the end of the auction period, the balance of buy and sell orders will be used to calculate the uncrossing price and continuous trading will recommence.