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Suppose that the market is closed, but orders are queued up to be matched as soon as the market opens. Suppose for simplicity that only two orders are queued:

  1. A sell order to sell 1 unit at \$1.00
  2. A buy order to buy 1 unit at \$1.10

If order 1 came in before order 2, the orders are matched at \$1.00, and if order 2 came in before order 1, the orders are matched at \$1.10. But in this case both orders come in at exactly the same time, and hence I don't know what a natural price would be for this transaction?

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2 Answers 2

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Each exchange is a bit different, especially the listing exchange vs others, so no one answer. This should add a bit of color on the Nasdaq opening auction -

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  • $\begingroup$ Thanks, also for the reference, very interesting that this sort of stuff is documented an publicly available. $\endgroup$
    – user2520938
    Commented Jul 14, 2021 at 12:22
  • $\begingroup$ @user2520938 why do you find it interesting that the exchange provides information on how it operates? $\endgroup$
    – will
    Commented Jul 15, 2021 at 20:49
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If timestamps are the same, the orders will be processed based on order number, a unique identifier assigned by the exchange at the time each order is added to the queue.

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