What is the Close Order transaction used for?

Resolving The Problem

The close order transaction is used to set the order_closed flag on the order. This flag identifies orders that are at the end of their processing lifecycle (in other words, they are ready to purge although there is no dependency between purge and this transaction). We strongly recommend that you configure this transaction in your pipeline parallel to purge (using a splitter). The purge transaction only purges orders that have "aged" after the end of their processing lifecycle. Due to this, the significant chunk of orders in the Yantra transaction database are orders that have already finished processing. This transaction marks them this way in the database. There are 2 things that it is significantly impacts
1) Monitoring - when using the enhanced order monitor, this transaction signifies that this order is at the end of it's processing lifecycle, so it will not be monitored any more. This transaction is absolutely necessary for the order monitor to perform well.
2) By default, closed orders are not listed when you perform an order search using the default Yantra consoles (it only checks for open orders). You have to specifically select the button called "Recent orders" to return these orders. Because almost all of your searches will be for orders that are still in the active processing cycle, it improves the performance of the order list APIs and UIs. Of course, if you customize the UI or call the list APIs directly, you should make sure that the correct indices are applied and preferably include the order_closed flag in the index and the input XML for significantly reducing the number of records that the database has to evaluate.

This flag currently has no effect on the ability to return and order or to take it to other extended statuses etc.
We will use this flag more and more in the future, so make sure that you use this transaction in your pipeline. As I said, it is mandatory if you use the enhanced order monitor shipped in 5.0-SP1.