5:30 pm: the closing auction, the settlement, then the ghost book

5:30 pm: two events in the same minute

At 5:30 pm, two things happen almost simultaneously. Xetra enters its closing auction, which sets the closing price of the 40 stocks and therefore the DAX's official closing value. And Eurex computes the FDAX daily settlement: the volume-weighted average of the trades in the minute before 5:30 pm.

That settlement is not an accounting detail. It is the price that sets your margin variation for the day, the price that asset managers' desks use to value their positions, and the reference level that the following night and the next morning will have in memory. The minute before 5:30 pm therefore concentrates orders that want to influence or follow that price: ends of VWAPs, hedge adjustments, closes of intraday positions.

Reading order flow in that minute is useless: too many participants, all mechanical, all in a hurry. You note the settlement, you do not trade it.