Got this from QXL board cross reference...Scotches, Price Monitoring Extrension, : After the bell: Stock prices scramble: London's closing auction process explained: By Vince Heaney, FTMarketWatch Apr 24, 2001 : Ever wonder why London stocks stop trading at 4.30 p.m. but prices jump more than 5 minutes later? : The reason is the use of a closing auction process at the end of the normal trading day.: The London Stock Exchange introduced the system in May 2000.: "It is generally seen as the most efficient way of discovering the closing price," the Stock Exchange's John Wallis told FTMarketWatch.: The process is in use across much of Europe. Indeed, the mathematical algorithm used in London to calculate the closing price is a European standardised one.: Auction nitty gritty: Throughout the regular 8 a.m. to 4.30 p.m. trading day there is automatic execution of trades in SETS stocks. SETS is the Stock Exchange Electronic Trading Service, otherwise known as the order book.: At 4.30 p.m., automatic execution finishes and the market moves into the auction period. The initial auction period runs for five minutes, during which time market participants can place both market and limit orders.: A market order is one without a specific price attached, which will be executed at the best prevailing price. A limit order is one that has a specific market price level attached to it.: A mathematical algorithm is used at the end of the 5-minute period to calculate a single closing price for the auction, calculated to be the price at which the greatest number of shares can be executed.: During the auction process an indicative closing price is displayed to allow market participants the opportunity to adjust their orders.: "Almost all the time, the auction process will be completed by 4.36 p.m.," said the Stock Exchange's Wallis. : Price monitoring extension period: However, there are two sets of circumstances under which the process can be extended by one, or if necessary two, 5-minute periods.: The first exception is a price-monitoring extension. If the closing algorithm calculates a price that is more than 5 percent away from the average price during the last 10 minutes of normal trading (4.20 to 4.30 p.m.), the auction process moves into a price-monitoring extension.: Much of the demand on a "normal" day for the closing auction will be from institutional participants, such as tracker funds that wish to execute market on close type orders. : The volume of participation by these players tends to be heaviest at the end of the month or quarter, and on the days in each quarter when the FTSE indices, such as the FTSE 100 [UK:1805550] are re-weighted.: If the demand to buy or sell at the close is sufficient to move the price outside the 5 percent band, then the price monitoring extension period allows time for liquidity providing or opportunistic market participants, such as market makers, to enter orders to balance the market.: When the auction process was introduced last May there was initially a single 5-minute price monitoring extension period, but a second period was introduced in November 2000 to allow the market more time to close if required.: Market-order extension period: The second type of additional auction period is a market-order extension. If at the end of the 5-minute auction period there are market orders left unfilled - i.e., orders that are to be executed at best price, but there is insufficient volume to completely execute them - then the auction process trips over into a market-order extension period.: In general, the occasions when there is a market-order extension coincide with days when there is a price monitoring extension.