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What is opening & closing auction imbalance manipulation?

Introduction to Opening & Closing Auction Imbalance Manipulation

QUICK DEFINITION: When a trader enters a large auction-only order, and then enters multiple opposite-side continuous trading orders in an attempt to push the auction price in the direction favoring the trader’s auction-only order.

The SEC’s enforcement action against Athena Capital Research demonstrated the vulnerability of the opening and closing auctions to manipulation.

By entering large auction-only orders, and then entering continuous trading orders on the opposite side, a trader can push the auction price in the direction favoring the trader’s large auction-only order.


An example of auction imbalance manipulation shown in Surveyor


Reviewing Opening & Closing Auction Imbalances in Surveyor

You can learn more about reviewing these events in Surveyor in this article.

More on Surveillance Exceptions

Next, learn more about marking the close, also known as window dressing.

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