Markets: A Rigorous Course

M01 · Problem 3 ★★

The residual book is not crossed

In a single-price auction executed at a volume-maximising price pp, with the short side filled completely and the long side allocated by price priority, prove that after execution no unexecuted buy order has a limit greater than or equal to the limit of any unexecuted sell order. (So continuous trading starts from an uncrossed book.)

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