The Call Auction: How the Opening Price Is Set
For 10 minutes before the open the exchange only collects orders, then picks the price that matches the most shares as the opening price, and every auction trade fills at it.
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Text version · China A-Share Rules, lesson 2: “The Call Auction: How the Opening Price Is Set”
For 10 minutes before the open the exchange only collects orders, then picks the price that matches the most shares as the opening price, and every auction trade fills at it.
Collect orders first, match them all at once
During the 10 minutes of the call auction, buy and sell orders just queue up without trading. At 9:25 the exchange finds the one price at which the most orders can trade, and that becomes the opening price.
Everyone trades at one price
Buy orders above the opening price and sell orders below it all fill, and all at the opening price; orders exactly at the opening price queue by price-time priority and may only partly fill.
Key takeaways
- During the call auction orders only queue up without trading; trading apps show a constantly changing “indicative opening price”.
- The opening price is the one that matches the most shares; buy orders above it and sell orders below it all fill, and all at the opening price.
- Orders exactly at the opening price queue by time and may only partly fill; anything unfilled waits in the book after 9:30.
Try it yourself
You can do these exercises in this lesson's interactive simulation:
- Play the “balanced” scenario: how many times does the indicative opening price change? Where does it end up?
- Switch to “good news” and play again: how far above the previous close does it open?
- Add a buy order with the highest price: do you trade at your own price or at the opening price?
- Move your buy limit down to the lowest level: does it still fill? Why?
Quiz and explanations
- 1. In the call auction you place a buy order at 10.10 yuan, and the opening price ends up at 10.00 yuan. What's your fill price?
- Answer: 10.00 yuan.Every trade in a call auction settles at the same opening price, so even higher-priced buy orders fill at the opening price.
- 2. What principle is used to pick the opening price?
- Answer: The price at which the most shares can trade.At each candidate price, the volume that can trade is the smaller of what buyers want and what sellers offer; the price with the largest volume becomes the opening price.
- 3. At 9:18 the “indicative opening price” shows 10.05 yuan. What does that tell you?
- Answer: Based on the orders so far it works out to 10.05 yuan, and it can still change before 9:25.The indicative opening price is just a calculation from the current orders; new orders keep arriving, and it's only final at 9:25.
Terms in this lesson
- call auction (Call Auction): Orders are collected for a while without trading, then all matched at once at a single price, often used at the open and close.
- opening price (Opening Price): The first trade price of each trading day, set by an opening auction at many exchanges.
- price-time priority (Price-Time Priority): The matching rule: better-priced orders fill first, and orders at the same price queue in the order they arrived.