AUCTION SURVEILLANCE LAB SEBI / SEC 10b-5

Indicative Price $150.00
Matched Vol 45,000
Net Imbalance +5,000 (BUY)
Price Shift 0.00 bps
1. Order Accumulation (15:30-15:40)
2. Price Match / Uncrossing
3. Random Buffer / Freeze
T-10s
📋 Order Book & Scenario 18 Orders
INJECT CUSTOM AUCTION ORDER
Auction Depth Ladder Cumulative Qty
Bid Qty Price ($) Ask Qty
📈 Supply-Demand Crossing Equilibrium
Cumulative Demand (Bids)
Cumulative Supply (Asks)
Equilibrium Clearing Price
Deterministic Call Uncrossing Step-Through
RULE 1: Maximize Executable Volume Candidate: $150.00
Evaluates candidate auction prices from lowest ask to highest bid. Identifies price level yielding the maximum crossing pairs: 45,000 shares.
RULE 2: Minimize Order Imbalance (Surplus) Surplus: +5,000
When multiple prices yield identical maximum volume, select the price minimizing unexecuted surplus shares.
RULE 3: Market Pressure & Reference Price Proximity Ref: $149.80
If surplus remains identical, tie-breaker prioritizes price closest to continuous session reference closing price ($149.80).
🛡️ Surveillance Anomaly Diagnostics
Order-to-Trade Ratio
1.8 : 1
Threshold: > 10:1
T-5s Cancel Velocity
0 / sec
Terminal burst alerts
Fill/Cancel Asymmetry
8%
> 70% spoof bias
Clearing Price Shift
+0 bps
vs Continuous Ref
🟢 NORMAL AUCTION MICROSTRUCTURE
Order book dynamics conform to standard two-sided price discovery with symmetric cancel/fill distribution.
REGULATORY ENFORCEMENT CITATION:
SEBI Circular SEBI/HO/MRD/DP/CIR/P/2018/134: Prohibits layering artificial deep-in-the-money call auction orders to distort indicative equilibrium price followed by late cancellation prior to freeze window.
Simulated Auction Order Stream

Mechanics of Exchange Closing Call Auctions & Surveillance Frameworks

Call auctions accumulate buy and sell interest over a dedicated pre-close window to establish a single authoritative closing price (Official Close/NAV benchmark) that eliminates continuous-trading bid-ask spread whipsaws.

⚖️ 1. Multilateral Uncrossing Algorithm

Unlike continuous trading where matching is continuous and price-time priority dictates fills, a call auction executes all crossing volume at one uniform equilibrium clearing price that satisfies: (1) Maximum matched share volume, (2) Lowest net unexecuted imbalance, and (3) Proximity to continuous reference price.

🚨 2. Closing Auction Spoofing Patterns

Manipulators inject aggressive, massive-size limit buy/sell orders during early accumulation to artificially skew the indicative uncrossing price. In the terminal seconds before the random freeze, the spoofed orders are canceled, leaving real market counterparties trapped at distorted prices.

🎯 3. Marking the Close & Ramping

"Marking the close" involves executing aggressive market-on-close (MOC) bursts or large orders at or near auction determination to artificially inflate derivative settlements, benchmark NAVs, or executive compensation targets (governed under SEC Rule 10b-5, MAR Art. 12, SEBI PFUTP Regulations).