Using 33 years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is strong or more elastic. Net order flow explains much of the price pressure, offering direct evidence that secondary market trading transmits dealer constraints into prices. Despite heightened concerns about dealer capacity amid rapidly growing federal debt, price pressure has not increased in recent years in part because investment funds and foreign investors now absorb more auction supply, thus easing dealers’ intermediation burden and reducing price frictions.