Help Needed In Understanding Level 2 Auction Period.

Fiddlers Retreat

Junior member
31 2
hi,

i am thinking of getting into DMACFDs, which should allow me to deal in auctions.

only problem is, i am unsure what exactly is happening in an auction.

i watched the end of the day auction on Barclays shares the other day, and need some help in understanding whats happening.

The 1st screen shot is of the Level 2 screen just before normal trading close.


Notice how Uncrossing Price is 494.50p and uncrossing volume is 200,376
the spread is 526.5 - 527



Now look at the next screen shot, which was taken about 2.5 mins into the "auction"


Notice that the uncrossing price and uncrossing volume have both increased - yet the spread difference is the same (0.5p) - although it has dropped slightly since the last shot.
there is also some large orders appearing on the order book.




Now look at screen shot 3, taken just after 16:35.

The whole screen goes yellow.

the spread has totally changed, 600p bid and only 498.75 offer.

the uncrossing price & volume have changed again - -and also (although i dont know if this is coincidence) but the uncrossing volume appears in the trade box as a sell?

Also - as expected in an auction - the volume of shares in the order book rockets.




then we go to the final screen shot, which is just after the auction


Note: auction data stays the same as the last screen shot,
but all the quote data seems to reset to what it was the previous day -- also the spread is 3p wide (widest iv seen it all day on barclays).

but after a few mins the quote data all corrects itself to reflect the days trading.


can someone explain to me what is happening in each of these stages - and when would you actually trade in an auction - and for what price?? as a bid of 600, and a offer of 498.75p makes for easy profit taking??

Confused

Any help much appreciated.

Thanks,

Matt
 

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