3.3.1. Market on Close Order Entry Requirements
Market on close orders are orders that may only be filled on the closing price. To minimize excess market volatility that may be associated with large-size market on close (MOC) orders that are entered near the close of daily trading, and to allow sufficient time to attempt to offset large imbalances of MOC orders, the NYSE has a deadline of 3:50 p.m. for the entry of all MOC orders. This restriction applies to MOC orders in all stocks on all trading days, except expiration days. Expiration days are the days when futures or options expire—usually the third Friday of the month. The NYSE has a 3:40 p.m. cut-off time for entry of all orders on expiration days, except for those to offset published imbalances.
Brokers on the NYSE floor are required to communicate the extent of MOC orders in their possession to the appropriate DMMs (specialists) by these times. MOC orders are irrevocable, except to correct an error, after these specified times.
Order imbalances of 50,000 shares or more on non-expiration days shall be published as soon as practicable after 3:50 p.m. Any stock being dropped from or added to an index must publish an MOC status as soon as practicable after 3:40 p.m. on expiration days. Any other stock may also publish an MOC imbalance as soon as practicable after 3:40 p.m. with Floor Official approval. After 3:40 p.m., MOC orders that offset imbalances, which have been published on the tape, may be entered, except where such orders relate to expiring index arbitrage.
A limit on close (LOC) order is a limit order that is entered for execution at the closing price, provided that the closing price is at or within