Opening auction

A scheduled auction that opens a listed market. For a stated period before the bell, orders can be entered, amended and withdrawn but nothing executes. The exchange publishes an indicative price and the volume that would trade at it, updating as the book changes. At the open, the book is uncrossed at one price, chosen by a published rule that selects the price at which the largest volume can execute, with documented tie breaks when more than one price would do so.

The mechanism exists because information does not stop arriving when a market closes. Results, guidance and overnight moves elsewhere accumulate for hours and would otherwise be resolved in a race between the fastest participants in the first seconds. Concentrating that adjustment into one price at one moment gives every order the same price regardless of when in the call period it was entered. The closing auction is the mirror image, and it matters more than the open for anything valued on official prices, since index levels and fund valuations are struck there.

The indicative price is the trip. It is a calculation over the orders present at that instant, not a price anything has dealt at, and it can move sharply in the final seconds as large orders arrive or are pulled. Two further points follow. The opening price on a daily chart is the auction price, which is why it can sit a long way from the previous close with no trade printed in between. And a contract quoted on a share outside the exchange's own hours is priced from something other than the auction, so a quote seen before the open and the auction price are not the same event and are not expected to agree.