Execution Method of Market Orders at Single Price Auctions

Execution of market orders at single price auctions can be classified into two different cases: a case where there are market orders only and another with limit orders.


In the case where there are ask market orders and bid market orders without a limit order, the execution price will be the last traded price. However, if the total order quantities in both sides are different, the execution price reflects the market demand of the side with larger quantity. Therefore, the execution price will be one tick higher than the last traded price if the bid quantity is larger and one tick lower than the last traded price if the ask quantity is larger. Still, in this case, the execution price cannot exceed the daily price limits.


In the case where there are market orders together with limit orders, which is the most common case, a bid(ask) market order is deemed to be the highest(lowest) of a) one tick higher(lower) than the highest(lowest) bid(ask) limit order, b) highest(lowest) ask(bid) limit order, and, c) last traded price.

Examples of Execution of Market Orders at Single Price Auctions

Followings are some examples of execution and deemed prices of a market order with limit orders. (For the purpose of explanation, tick sizes are assumed to be KRW 100 only.) W 100 only.)

Example 1. One tick higher than the bid limit order
example 1
Asks Price Bids Execution Result
  Market Order 200
  • Deemed Price : 10,700
    1 tick higher than the best bid > Counterparty's price > Last traded price
  • Execution Price : 10,700 (matched price)
  10,800  
  10,700 200(deemed price)
  10,600 200
200 10,500 200
Last Traded Price 10,400  
  10,300  
Example 2. Highest of the counterparty's limit orders
Asks Price Bids Execution Result
  Market Order 200
  • Deemed Price: 10,700
    counterparty's price > 1 tick higher than the best bid > Last Traded Price
  • Execution Price : 10,500 (matched price)
  10,800  
200 10,700 200(Deemed Price)
  10,600  
200 10,500 200
200 10,400  
Last Traded Price 10,300  
Example 3. Last traded price
example 3
Asks Price Bids Execution Result
  Market Order 200
  • Deemed Price : 10,700
    Last Traded Price > counterparty's price > 1 tick higher than the best bid
  • Execution Price : 10,700
    (Of the matched prices, the last traded price)
  10,800  
Last Traded Price 10,700 200(deemed price)
200 10,600  
  10,500  
  10,400 200
  10,300  

In a case where there are only market orders at both sides, a market order has a deemed price and is matched as in this example. (For the purpose of explanation, tick sizes are assumed to be KRW 100 only.)

Example 1. Market orders with same quantities
example 4
Asks Price Bids Execution Result
200 Market Order 200
  • Deemed Price : 10,700
    Last traded price where the both sides have market orders only (To keep price continuity)
  • Execution Price : 10,700 (matched price)
  10,800  
(Last Traded Price)
200
10,700 200
(Deemed Price)
  10,600  
  10,500  
  10,400 200
  10,300  
Example 2. The bid market order with larger quantity
example 5
Asks Price Bids Execution Result
100 Market Order 200
  • Deemed Price : 10,700
    Ask market order : 10,600 (Last traded price
    Bid market order : 10,700 (Last Traded Price+1 tick)
    To reflect market demand
  • Execution Price : 10,700 (The price of a larger quantity order)
  10,800  
  10,700 200
(Deemed Price)
(Deemed Price)
100
10,600 Last Traded Price
  10,500  
  10,400  
  10,300