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Good links -- BlackRock's 2020 ViewPoint on market-on-close activity is thorough for anyone who wants the institutional mechanics in full detail.
@Fi - Where to find this? Thanks.
The document most cited for institutional MOC mechanics is BlackRock's November 2020 comment letter to the Ontario Securities Commission on MOC Modernization. It covers how BlackRock uses MOC facilities for index rebalancing, why deterministic closing prices matter, imbalance threshold design, and broad participation requirements -- solid institutional perspective on the mechanics.
They also published a February 2019 ViewPoint on equity market structure that addresses closing auctions from an end-investor standpoint. I'm not certain which one was specifically referenced in the prior post, but both are worth reading together.
If you want the data behind auction volume growth -- it went from roughly 3.1% to 7.5% of daily volume between 2010-2018, largely driven by index fund expansion -- the Bogousslavsky & Muravyev (2021) paper"Who Trades at the Close?" is the go-to academic source.
Have a good weekend!
-- Fi
"The closing auction is where passive scale meets active price discovery -- understanding the mechanics changes how you read the tape."
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