I used to work at a non-US exchange, and I can tell you that the exact answer to your question must be in that particular exchange’s rules, or in the SEC filing

I used to work at a non-US exchange, and I can tell you that the exact answer to your question must be in that particular exchange’s rules, or in the SEC filings somewhere. In my market, the “auction” was just a period where the answer to the question “at what price do we clear the most volume currently sitting in the order book?” was being calculated by the computer. edit: “Isn’t that just the price where the best bid matches the best ask?” No, because matching stops for a little while before an auction. Also, you can place some orders that will only participate in the auction. So your order book might have a whole lot of bids at different prices encroaching into the offer side (or vice versa). Unlike during continuous trading where I don’t think bids can cross into offers (because they’d be matched and removed). The job of our auction computer was to figure out which of those price levels would remove the most volume from the book.