medium · Market Microstructure lob
During the pre-open period of a call auction for Widget Corp, the indicative clearing price is 10.00. Total demand (buy market + limits ≥ 10.00) is 1,000 shares. Total supply (sell market + limits ≤ 10.00) is 800 shares.
If a trader submits a new limit sell order for 200 shares at 9.95, what happens to the clearing volume?
- Volume remains at 800 shares
- The auction is canceled due to the imbalance
- Volume decreases because the price is lower
- Volume increases to 1,000 shares
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