In an auction, when two limits are matched and the volumes are identical but the limits differ, what is the trade price?

In an auction, when two limits are matched and the volumes are identical but the limits differ, what is the trade price?

• A. Arithmetic mean of two limits
• B. Limit with higher volume
• C. Reference price
• D. At limit

Answer: (A)

When two opposite limits match with the same quantity but at different prices, the trade occurs at the arithmetic mean of those two limit prices. Since neither side dominates, the fair execution price sits halfway between their limits, reflecting equal weight for both willingness-to-pay and willingness-to-accept. If volumes weren’t identical, the price determination would follow the exchange’s allocation rules and could shift toward the side with the larger volume, but with identical volumes the midpoint is used.

When two opposite limits match with the same quantity but at different prices, the trade occurs at the arithmetic mean of those two limit prices. Since neither side dominates, the fair execution price sits halfway between their limits, reflecting equal weight for both willingness-to-pay and willingness-to-accept. If volumes weren’t identical, the price determination would follow the exchange’s allocation rules and could shift toward the side with the larger volume, but with identical volumes the midpoint is used.