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From what i understand about Athena's strategy, they always wanted to execute on the imbalance. They would drive the continuous price in one direction and cover in the cross at an in-/de-flated price. Setting the sell price of an imbalance only order would basically be like sending a market order and give them the best chance of executed on the imbalance ...


From the Nasdaq page, IMBALANCE-ONLY CLOSE ORDERS Provides liquidity intended to offset on-close orders during the Closing Cross. Must be priced (limit), no market IO orders. IO buy/sell orders only execute at or above/below the 4:00 p.m., ET, bid/ask. They simply mean they were +\$0.01 or at \$23.56 from the price on their sell ...

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