How Call Auctions Set Prices: Reading the Indicative Match Price
A call auction matches collected orders at one price. Explore how it differs from continuous trading, how cumulative demand and supply work, and why indicative prices change.
Single-price trading, commonly called a call auction, collects orders over a period and executes them at a single price under specified rules. The indicative match price on the screen is provisional and based on orders received so far; it does not guarantee the final execution price.
The difference is how orders are brought together to set a price
In continuous trading, transactions occur whenever a compatible order arrives. A call auction gathers buy and sell orders and calculates how much quantity can be matched at each price. KRX's stock-market guidance also distinguishes call auctions from continuous trading. In practice, additional price-setting rules and order priorities are needed alongside the maximum matchable quantity. The process is therefore neither an arithmetic average of order prices nor a vote for the price entered by the most people.
Build cumulative quantities for each price
At any candidate price, eligible buying quantity consists of orders willing to pay that price or more. Eligible selling quantity consists of orders willing to sell at that price or less. The smaller of these cumulative quantities is the maximum that can be matched at that price. Applying the calculation across several prices helps explain the candidates. This simple table cannot fully reproduce an exchange's actual algorithm, however, including market orders, tie-breaking, and allocation rules for special circumstances.
Do not read an indicative price as a confirmed quote
Orders added or canceled shortly before the auction ends change supply and demand, so the indicative price can change. A sharp rise in the indicative match price does not mean you can sell all your existing shares at that price. Consider indicative matched quantity, the buy-sell imbalance, and your own order conditions together. After the final price is set, also check how unfilled quantities carry into the next session. Order-entry times and restrictions can change, so use the relevant exchange and broker guidance for that market. For learning purposes, a table placing eligible buy and sell quantities side by side at each price is sufficient. After execution, compare changes in indicative quantity as well as the difference between the indicative and actual prices. This can help assess whether the price was sensitive to small order amendments. Do not claim that public information lets you reconstruct individual traders' intentions or final allocation priorities.
Worked example
Hypothetical example: Suppose the only orders are to buy 100 shares at KRW 101, buy 100 at KRW 100, and sell 150 at KRW 100. At KRW 100, 200 shares are eligible to buy and 150 to sell, allowing up to 150 shares to match. At KRW 101, 100 shares are eligible to buy and 150 to sell, allowing up to 100 shares to match. This simplified example illustrates cumulative quantities; actual tick-size rules are a separate matter.
What to check
- Have you distinguished indicative prices from confirmed executions?
- Have you compared cumulative buying and selling quantities at each price?
- Have you checked the session's rules for unfilled orders?
Sources and primary materials
This is educational material about research methods. For an actual company decision, verify the filings and primary sources for the relevant period.