The trading model “auction” is an order-driven mechanism for periodic trading.


Market type

The auction is one of the multilateral trading models in which competing buy and sell orders from several parties can interact. Trade is order-driven, i.e. buy and sell orders are collected in a central limit order book. As such the order book bundles liquidity in a security through the mechanism of price determination at a particular point in time.

Market participants act as either buyers or sellers. Moreover, individual participants can assume the role of a liquidity supplier. They ensure a security’s fungibility by regularly posting binding quotes and the tradable volume.

The auction begins with the outcry phase, followed by price determination. A minimum duration is defined for the auction’s outcry phase in which participants can enter orders and quotes as well as change or delete their own orders/quotes.

The outcry phase ends randomly, to avoid price manipulation.


  • Pre-trading information:
    The order book is only partly open during the outcry phase: Aggregated information on the respective current order situation is published on an ongoing basis.
    When orders match such as to enable a transaction to be executed, the indicative auction price is shown. This is the price that would result for the auction if the price determination were to take place at this point in time.
    Moreover the executable volume for the respective auction price, on which side there is an and the volume of overhang are published. Where determination of an indicative price is not possible, the best buy or sell price for the order including the corresponding volumes is shown.
    Trading is anonymous, meaning the order originator is not shown.
  • Post-trading information:
    Following completion of the auction, the auction price, the volume executed in the auction and the time of price determination are immediately published.
    Where a transaction is executed via a central counterparty the originator of the transaction also remains anonymous in post-trading. For transactions not involving a central counterparty, the name of the originator is visible.

Pricing and order execution

  • Prioritisation of orders:
    In the auction, all orders are collected in the order book according to price/time priority.
  • Price determination:
    The auction price is determined in accordance with the principle of highest volume transacted. The auction price is the price at which the highest executable order volume and lowest overhang are evident.
  • Order execution:
    Owing to the sorting of orders by price/time priority, orders with a higher buy or a lower sell limit have priority for execution. Here market orders have priority over limit orders. Where several orders have the same price limit, the order with the highest time priority is executed first.
    The price/time priority rules ensure that a maximum of one limited or unlimited order is partially executed at the auction price.

Possible uses

The auction is particularly suitable for ...

  1. price determination in the trading of less liquid securities,
  2. determination of the first price at the start of the trading day (opening auction),
  3. price determination mid-trading day (intraday auction),
  4. determination of the closing price at the end of the trading day (closing auction),
  5. volatility interruption,
  6. liquidity interruption.

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