Open Outcry Hybrid Price Discovery

objective

Analyze and monitor market price formation across open outcry, auction, and hybrid electronic mechanisms.

workflow

1. define mechanism taxonomy across opening auction, continuous matching, and close auction states.
2. align trade, quote, and imbalance data around mechanism transition timestamps.
3. measure price discovery quality across indicative, uncross, and continuous prices.
4. stress mechanism behavior under volatility spikes and liquidity withdrawal.
5. release only when mechanism diagnostics are stable and interpretable.

required diagnostics

• opening and closing auction price efficiency versus post-auction reference.
• indicative-to-match price drift and imbalance sensitivity.
• mechanism transition slippage from auction uncross to continuous trading.
• quote depth recovery speed after auction events.
• volatility clustering by mechanism type.