Continuous Auction
Market Microstructure glossary · Limit Order Book Mechanics & Order Routing Logic
Definition
A market mechanism that matches orders continuously as they arrive, based on price-time priority.
Continuous Auction in plain English
This is how a normal stock market runs during the day: orders don't wait for a set time — the moment a buy order and a sell order can agree on a price, they're matched instantly, then the next pair, and so on, all day long. When several orders want the same deal, the market decides who goes first by two simple rules: the best price wins, and if prices tie, whoever got there earliest wins (that's 'price-time priority'). Picture a deli counter where a better offer jumps the line, but among equal offers it's strictly first-come, first-served.
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