The US Markets generally operate multiple sessions: pre open, on-open, regular-market trading, on-close, post-close or after-hours. Open and closing auctions a

The US Markets generally operate multiple sessions: pre open, on-open, regular-market trading, on-close, post-close or after-hours. Open and closing auctions are batch auctions. To facilitate liquidity seeking, the major exchanges publish a periodic "imbalance" feeds in the minutes and seconds up to the auction. As you can imagine, its gamed in a multitude of ways, including special order types (D-Quotes on the NYSE anyone?) that only a select few market participants know about or have access to. The point is, whatever mechanism you choose: over time that mechanism morphs and transforms. New options are provided under the guise of liquidity seeking but really serve to benefit the HFTs.