An interesting storm is brewing... TLDR: ~$300B is directly at risk, ~$4T needs to recalibrate, & ~$30T is the reason the close isn't going anywhere I would guess the VAST MAJORITY of non human strategies ~90%+ fall into 2 buckets... they have a MAJOR issue...the issue is they use TIME based bars... BUCKET 1: official open, official close, and everything computed from them ....close to close returns, overnight vs. intraday decomp, VWAP/TWAP benchmarks, closing auction execution, eod NAV marks, volatility estimators that literally take OHLC as inputs... beyond that... a significant amount of funds (bucket 2) rely on the session structure itself as signals/alphas/factors: overnight return premia, OR breakouts/breakdowns, close to open gap fades, MOC imbalance strategies, intraday seasonality/volume curve models this is not quite a RED ALERT because it seems like the closing auction is trying to be preserved... if we go to 23 hr free for all... its going to be the wild wild west ... but I imagine funds are scrambling hard right now I was thinking about it this morning... my prelimary list of who is most at RISK: - overnight gap strategies / signals - VOL and Risk models - anything based on LIQUIDITY curve priors - stop loss / rebal logic based on history For as much as De Prado gets flack on here... he talked about this issue 10 yrs ago....and the OGs said it 50 yrs ago.... the best strategies have moved from TIME based to $/vol based .. im sure some propeller head out there will tell me they built their whole strategy without using or backtesting "time"... if you did, great you are ahead...most HAVE NOT and for the futures tradoooors...yes, futures are 23hr but they have settlement windows and the cash close to anchor to... kill the equity closing auction and you kill the anchor