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They already do this for the opening and closing auctions. You can have a market-on-close order or limit-on-close order for example. The market on close orders are guaranteed to fill. The limit orders are filled using price-time priority, so best prices submitted earliest fill first, after the market price orders.

I guess it is possible that there are remaining marketable orders that never fill because of an imbalance one way or the other, but I doubt that ever happens in practice.



If you keep price/time priorities you still get a race to pile into new levels after the previous batch.


That's what happens with the opening and closing auctions currently.


Yep. They are more latency sensitive than the continuous portion of the day.




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