What Is the Closing Auction? (Closing Cross)
What the closing auction is, why one 4 p.m. print sets the official close, and how market-on-close orders feed the day's biggest trade, on real tape data.
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Microstructure Deep-Dive: June 29, 2026
Under the hood of June 29, 2026: the full trade and quote tape, a dictionary-derived volume correction, nanosecond receipts, and a truncated FINRA file.