Exploring Market on Close Facilities, Part 2: Europe and the U.K.
Guests: James Baugh, Managing Director, Head of European Market Structure, TD Securities and Evan Canwell, CFA, Equity Trader and Market Structure Analyst, T. Rowe Price
Host: Peter Haynes, Managing Director and Head of Index and Market Structure Research, TD Securities
In Episode 72 we cross the pond to meet with a couple European market structure experts for a deep dive on local market on close mechanisms. This podcast is part two of a three-part discussion which launched in the Americas and will conclude in APAC next month.
Joining the podcast for a return visit is James Baugh, head of European Market Structure from TD Securities and Evan Canwell, Equity Trader and Market Structure Analyst at T Rowe Price in London. The two experts discuss pivotal differences in the structure of closing auctions in Europe compared to North America, namely the fact that in Europe the end of day auctions occur standalone following the end of continuous trading, whereas in North America, closing auction price discovery takes place prior to the end of the regular trading session. This key difference impacts how traders use the facilities and how liquidity forms at the end of the regular trading session.
James and Evan also touch on the pros and cons of structural differences with auctions in Europe where larger marketplaces covered by the LSE and Euronext offer fully transparent facilities, whereas smaller markets use mostly non-transparent auction models. The two cross the finish line with some quick hits on current market structure hot buttons in the region including the latest on a consolidated tape, the debate over high market data fees, the possibility of an Order Protection Rule and the timing of T + 1 settlement.
| Chapters: | |
|---|---|
| 8:25 | Dissecting the LSE's Closing Auction |
| 16:00 | How T. Rowe Uses the MOC facility? |
| 21:48 | Unique Features of MOCs on the Continent – Closing Times and Transparency |
| 30:15 | Closing Auction Volume Metrics and Trends |
| 34:24 | Alternative Closing Facilities – Do they Harm Price Discovery? |
| 40:17 | The Impact of a Post Continuous Closing Auction on End of Day Liquidity? |
| 48:05 | Market Structure Quick Takes – Consolidated Tape, Market Data Costs, OPR and T1 |
This podcast was recorded on June 26, 2025.
Full transcript to come.
Head of European Market Structure, TD Cowen
Head of European Market Structure, TD Cowen
