diff --git a/risk/engine.go b/risk/engine.go
index d4b0aeee2f..bda118ce31 100644
--- a/risk/engine.go
+++ b/risk/engine.go
@@ -22,6 +22,7 @@ var (
 //go:generate go run github.com/golang/mock/mockgen -destination mocks/orderbook_mock.go -package mocks code.vegaprotocol.io/vega/risk Orderbook
 type Orderbook interface {
 	GetCloseoutPrice(volume uint64, side types.Side) (uint64, error)
+	GetIndicativePrice() uint64
 }
 
 // AuctionState represents the current auction state of the market, previously we got this information from the matching engine, but really... that's not its job
diff --git a/risk/margins_calculation.go b/risk/margins_calculation.go
index bd0de94400..e982e9f8f3 100644
--- a/risk/margins_calculation.go
+++ b/risk/margins_calculation.go
@@ -77,10 +77,18 @@ func (e *Engine) calculateMargins(m events.Margin, markPrice int64, rf types.Ris
 			slippagePerUnit int64
 		)
 		if slippageVolume > 0 {
-			exitPrice, err := e.ob.GetCloseoutPrice(uint64(slippageVolume), types.Side_SIDE_BUY)
-			if err != nil && e.log.GetLevel() == logging.DebugLevel {
-				e.log.Debug("got non critical error from GetCloseoutPrice for Buy side",
-					logging.Error(err))
+			var (
+				exitPrice uint64
+				err       error
+			)
+			if auction {
+				exitPrice = e.ob.GetIndicativePrice()
+			} else {
+				exitPrice, err = e.ob.GetCloseoutPrice(uint64(slippageVolume), types.Side_SIDE_BUY)
+				if err != nil && e.log.GetLevel() == logging.DebugLevel {
+					e.log.Debug("got non critical error from GetCloseoutPrice for Buy side",
+						logging.Error(err))
+				}
 			}
 			slippagePerUnit = markPrice - int64(exitPrice)
 		}
@@ -101,10 +109,18 @@ func (e *Engine) calculateMargins(m events.Margin, markPrice int64, rf types.Ris
 		)
 		// slippageVolume would be negative we abs it in the next phase
 		if slippageVolume < 0 {
-			exitPrice, err := e.ob.GetCloseoutPrice(uint64(-slippageVolume), types.Side_SIDE_SELL)
-			if err != nil && e.log.GetLevel() == logging.DebugLevel {
-				e.log.Debug("got non critical error from GetCloseoutPrice for Sell side",
-					logging.Error(err))
+			var (
+				exitPrice uint64
+				err       error
+			)
+			if auction {
+				exitPrice = e.ob.GetIndicativePrice()
+			} else {
+				exitPrice, err = e.ob.GetCloseoutPrice(uint64(-slippageVolume), types.Side_SIDE_SELL)
+				if err != nil && e.log.GetLevel() == logging.DebugLevel {
+					e.log.Debug("got non critical error from GetCloseoutPrice for Sell side",
+						logging.Error(err))
+				}
 			}
 			slippagePerUnit = -1 * (markPrice - int64(exitPrice))
 		}
diff --git a/risk/mocks/orderbook_mock.go b/risk/mocks/orderbook_mock.go
index 5adb09c870..c4311bc4a7 100644
--- a/risk/mocks/orderbook_mock.go
+++ b/risk/mocks/orderbook_mock.go
@@ -47,3 +47,17 @@ func (mr *MockOrderbookMockRecorder) GetCloseoutPrice(arg0, arg1 interface{}) *g
 	mr.mock.ctrl.T.Helper()
 	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "GetCloseoutPrice", reflect.TypeOf((*MockOrderbook)(nil).GetCloseoutPrice), arg0, arg1)
 }
+
+// GetIndicativePrice mocks base method
+func (m *MockOrderbook) GetIndicativePrice() uint64 {
+	m.ctrl.T.Helper()
+	ret := m.ctrl.Call(m, "GetIndicativePrice")
+	ret0, _ := ret[0].(uint64)
+	return ret0
+}
+
+// GetIndicativePrice indicates an expected call of GetIndicativePrice
+func (mr *MockOrderbookMockRecorder) GetIndicativePrice() *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "GetIndicativePrice", reflect.TypeOf((*MockOrderbook)(nil).GetIndicativePrice))
+}