Understanding Market Depth
during the Closing Auction

What can you learn from Market Depth during the closing auction?

Before the ASX closes at 4.10 p.m., the period from 4.00 p.m. until the closing auction is known as the Pre-Closing Phase. During the Pre-Closing, you can place trades in anticipation of the market closing at 4.10 p.m.

The ASX Closing Auction serves as the Australian Securities Exchange’s official mechanism for establishing final daily prices across all listed securities.

Instead of using the day’s final transaction as the closing price, the ASX conducts an auction process where buy and sell orders are paired at a single price specifically calculated to maximize the total volume of shares traded.

When Does the Closing Auction Happen? (AEST)

Phase	Time	What Happens
Continuous Trading Ends	4:00 PM	Regular trading stops.
Pre-Closing Phase	4:00 PM – 4:10 PM	Investors can enter, amend, or cancel orders; indicative closing prices are displayed.
Closing Auction (Match)	Starts just after 4:10 PM	The ASX randomly selects a time to match buy/sell orders and determine closing prices.
Market Close	By ~4:12 PM	Final closing prices are set.

Note: The matching happens at a random moment after 4:10 PM (within a few seconds) to prevent manipulation, e.g., people placing orders after seeing orders filled on other codes to manipulate pricing.

How the Closing Auction Works

Orders are entered: Traders place “at limit” or “at market” buy and sell orders between 4:00–4:10 PM.
Equilibrium price is calculated: Based on the order book, the ASX displays an Equilibrium closing price throughout the pre-closing phase.
Orders are matched: At the random matching time (after 4:10 PM), the ASX matches orders at a single price where the maximum volume can trade.
Official closing prices are set: This price becomes the official closing price for each stock and is used for:

Index calculations (e.g., ASX 200)
Fund valuations (e.g., ETFs, managed funds)
Daily performance reporting

Why the Closing Auction Matters

Ensures fair and transparent closing prices based on real supply and demand.
Reduces price manipulation risk compared to simply using the last live trade.
Drives large trading volumes — some days up to 20–25% of daily volume happens during the closing auction.
Important for index funds, ETFs, and portfolio managers who need to match closing prices.

Equilibrium Price

The Equilibrium Price is available in the pre-open and the closing auction, and it is the point at which the bid and ask orders match at a particular price.

This is the Indicative Match Price or Equilibrium Price, it is available before the market opens and the closing auction, this is when the match occurs.

The Equilibrium Price serves as a reference point guiding future transaction pricing.

It evaluates asset valuation before trading, signaling whether it’s overvalued, undervalued, or appropriately priced.

Auction and Surplus Volume

Auction Volume is the volume traded at the auction match price.

Surplus Volume is the imbalance volume of orders included in the market match, showing the surplus amount difference between the bid and ask.

Count and Quantity

The Count refers to the number of orders at that price point.

The Quantity is the total volume of the orders at that price point.

If the Bid has a Quantity of 3,931, it comprises the total of 3 orders in the Count.

The Bottom Line

The ASX Closing Auction determines each stock’s official daily closing price through a systematic matching procedure, designed to ensure market fairness, enhance liquidity, and maintain transparency for all participants.

For investors and traders, understanding this mechanism provides insight into market dynamics and explains why significant price movements can sometimes occur in the final minutes of trading.

Having access to market depth information can help you predict the closing price, determine your spending limits, and understand how many shares are available for trading at the price you want.