It obviously works, given that many exchanges do have morning and evening auctions. > The closing window is a massive challenge as well. It would have to be ac

It obviously works, given that many exchanges do have morning and evening auctions. > The closing window is a massive challenge as well. It would have to be accurate down to the nano second. It wouldn't have to be - one could even say first second is for bids, second second there are no bids but a delay to give auction results mid-second and allow people to process. > the exchanges would know They can be forbidden to sell that info real-time by their regulator (it arguably would be market abuse and that could be made explicit). It is definitely not impossible like you are trying to imply. (Financial markets participant with 20 years in the market here, for what it's worth.)