at 4.50 mormal trading halts and the JSE gowes into closing auction until 5.00pm. During those 10 minutes buy/sell orders can be placed, but none are matched. Then at 5.00pm the system works out at what price the max volume will trade (this would include for example sell orders at 5000c that could got hrough at the betetr 5020c). Then we have one large final trade that actually includes many different people on each side.
Here's some of my notes on closing auction and closing price as well: 1. The closing auction is dedicated to the entry, modification and cancellation of orders. 2. If an instrument is traded in the closing auction the auction price will be the Official Closing Price 3. If there are trades during the opening auction or during continuous trading for an instrument on the day, but the instrument does not trade in the closing auction the Last Traded Price will be the Official Closing Price. 4. If there are no trades for an instrument on a particular day, the Official Closing Price defaults to the previous day's Official Closing Price.