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Does the Aquis MaC impact price formation at the close?



July 25, 2023

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Janak Patel, Execution Consultant
Two questions frequently asked about Aquis’ Market at Close (MaC) are:
  • What happens to the cancelled flow from the MaC? and
  • Whether it has any detrimental effect on price formation in the market of listing’s closing auction?
An Aquis study into the timing of price formation found that:
  • Price formation mostly happens near the very end of closing auctions, with 75% of our sample of auction instances forming prices in the last 34 seconds
  • 9 times out of 10, all cancelled flow from the MaC (on average this is 33.8% of the total notional order add to the MaC) is sent immediately into the market of listing closing auction
  • For 75% of all auctions, the cancelled flow has no impact on price formation, and when it does, it is minimal and this impact happens at a price level still significantly far away from the eventual closing price.
The full report provides an in-depth examination of the impact of this cancelled flow on the indicative price on the market of listing closing auction, and how much size the MaC receives compared to the primary (ratio), which allows us to analyse the impact in the varying ratio buckets.
The MaC allows members to trade at the same price as the market of listing closing auction, for a fraction of the cost and with the option to redirect flow if an order isn’t fully filled.
Aquis Markets - Chart 2.png
Aquis Markets - Chart 1.png
For access to the full study or to learn more about the MaC, please contact
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