How does Auction Crossing NOII Work?

Composition of NOII

With Level 2, you can also see Auction Crossing Net Order Imbalance Indicator (NOII) data below the Market by Order (MBO). The NOII gives details about orders and the likely opening and closing prices of a security.

① NOII information is disseminated every five seconds between 9:28 a.m. and 9:30 a.m. EST for the Opening Cross. For the Closing Cross, it's disseminated between 3:50 p.m. and 4 p.m. EST.

② Imbalance Side: The side of the orders which were not paired. First calculate the value (X) of eligible buy orders minus eligible sell orders at the reference price, then:

X>0 <=> Buy-Side Imbalance

X<0 <=> Sell-Side Imbalance

X=0 <=> No Imbalance

③ Paired Shares: The total number of shares eligible to be matched at the current reference price.

④ Imbalance Shares: The number of opening or closing shares that would remain unexecuted at the current reference price.

⑤ Current Reference Price: The price at which paired shares are maximized while minimizing the order imbalance.

⑥ Near Indicative Clearing Price: The crossing price using both the auction orders and continuous book.

⑦ Far Indicative Clearing Price: The crossing price using auction orders only.

⑧ Price Variance Indicator: The absolute value of the percentage of deviation of the near indicative clearing price in relation to the current reference price.

The Auction Crossing NOII information gives investors unparalleled transparency into the Nasdaq Opening Cross, Closing Cross, IPO and Halt Crosses. NOII information is disseminated every five seconds between 9:28 a.m. and 9:30 a.m. EST for the Opening Cross, and between 3:50 p.m. and 4 p.m. for the Closing Cross.

The Auction Process & Crosses

The purpose of the auction is to maximize the quantity of shares crossed. The detailed process is as follows:

Step 1: Calculate the Aggregate Buy & Sell Orders.

The auction order book will aggregate all eligible orders at each price level. For buy orders, the aggregate order at a specific price level is calculated by summing the orders at or above that price level. For sell orders, the aggregate order at a specific price level is calculated by summing the orders at or below that price level.

Step 2: Find the Indicative Cross Orders.

The value of an indicative cross order is the number of orders that are eligible to be matched at each price level. It is the lower of the aggregate buy order and aggregate sell order at each price level.

Step 3: Determine the Current Reference Price.

The price corresponding to the largest Indicator Cross Order (Maximum Paired Shares) is the Current Reference Price. The larger the Indicator Cross Order, the closer the corresponding price is to the opening/closing price.

Step 4: Other specific auction data feeds.

Imbalance Shares & Imbalance Side: The absolute value of the aggregate buy orders minus the aggregate sell orders at the reference price is the number of imbalance shares. If the value is above zero, it means buy-side imbalance.

Near Indicative Clearing Price: The near indicative clearing price is the crossing price using both the auction orders as well as continuous book.

Far Indicative Clearing Price: The far indicative clearing price is the crossing price using auction orders only.

Price Variance Indicator: The price variance indicator is the absolute value of the percentage of deviation of the near indicative clearing price in relation to the current reference price.

Application of the NOII

The NOII increases market transparency by supplying investors with invaluable information about opening and closing orders, as well as the likely opening and closing prices for a security. It reveals information on market supply and demand, helping investors to spot new trading opportunities.

In the example below, it is possible that the opening price of the day is close to the Current Reference Price. Buy-Side Imbalance indicates that the current market is more friendly to the buyers. Investors may acquire more market details based on this information.

‌