The trading activity in a securities exchange is typically organized in one of the following two ways:

Call Markets

In a call market the market is called at a certain time and place and all the traders trade at that time. The time when the market is called is called a trading session. Due to the way it is organized, a call market is very liquid during a trading session as all the traders need to be present and trade at that time. Once the trading session is over the market becomes illiquid till the next session.

Since there are many securities to be traded, a call market may call all the securities at the same time or the securities may be called one after the other, in rotation. When operating in rotation, the call market may call all securities in one rotation. Alternatively, if there are fixed trading hours in a session, then it will call as many securities as it can in the given time period.  Call market structure is generally used for organizing small markets. This structure is also used by many governments to sell their instruments such as bonds, notes and bills. Many stock exchanges also use this structure for trading in less active stocks.  Examples of call market are Deutsche Bourse and Euronext Paris Bourse.

Continuous Trading Market

In a continuous trading market, traders can trade at any time when the market is open. Buyers and sellers continuously place their orders and are matched on a continuous basis. Most markets that we see today including the stock exchanges, derivatives exchanges, and forex market are continuous trading markets.

Most continuous markets typically start their trading session with a call market auction, so many trades are executed when the market opens based on the initial auction and then the market continues to be open for trading. Some markets also close with a call market auction.

In call markets, the trades are usually executed using order-driven system. They use single price auctions to match buyers and sellers. All the buyers and sellers orders are entered in the order book, and then a single trading price is chosen that will maximize the trading volume.

Both the market structures have their own advantages and disadvantages. The biggest advantage of a call market is that it provides high liquidity as all traders interested in a security have to make their trades at the same time and place. The advantage of continuous market is that the traders have the flexibility to make their traders whenever they want.

Research suggests that traders prefer continuous trading markets with opening as call market.