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In a model with correlated and interdependent values/costs, the authors identify for the buyer's bid double auction the asymptotic distributions of the price and of two order statistics in the first order conditions for optimal bidding/asking, all of which are normal. More precisely, this paper establishes a central limit theorem for the market price and for the order statistics among bids/asks that are critical in a trader's decision problem. The informational environment in which the result is established allows for both correlation among the informational signals of traders and interdependence of their values/costs. Interdependence of values/costs means that a trader draws an inference from the price and the event that he trades in determining his optimal bid/ask. This inference problem has impeded the study of double auction equilibrium in all but very large markets, wherein inference and strategic behavior are simplified. 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