Limit on Close Logic
NASDAQ LOC SELL IO (Imbalance Only)
3120f982-e103-4175-8421-9966bf665c96
Check Logic
The NASDAQ LOC SELL IO order can be placed any time before the close (factoring in transmission latency) as long as there is a BUY imbalance for the symbol.
If there is no BUY imbalance, the order must be placed at least 5 minutes before the close as a NASDAQ SELL LOC.
(Up to 29th October 2018 the offset was 10 minutes before the close)
Live Trading
For live trading the price specified must be less aggressive than the reference price or it will be reset to the reference price.
If there is no reference price at the time of the order (ie no imbalance) the order will not be accepted.
From 2 minutes before the close until the close it will be re-priced based on the best bid/ask on the Nasdaq book prior to the execution of the closing print.
These restrictions are not simulated.
Fill Logic
The order is filled on NASDAQ at the closing print (aka 6 print) if the closing price locks or crosses the limit. If the order cannot be filled at the closing print, it is cancelled. The number of shares filled is the symbol's bid_size * lot_size. If the order is partially filled, the remainder will be cancelled at the end of the simulation since there is at most one closing print for each symbol. This fill takes liquidity.
Cancel Logic
The order must be cancelled at least 5 minutes before market close (factoring in transmission latency).
(Up to 29th October 2018 the offset was 10 minutes before the close)