Net Order Imbalance Indicator (NOII)

DEFINITION of 'Net Order Imbalance Indicator (NOII)'

Order imbalance information about the opening and closing crosses on the Nasdaq disseminated to market participants prior to executing the crosses. The Net Order Imbalance Indicator (NOII) shows the true supply and demand for a stock, based on actual buy and sell orders, 10 minutes before market close and five minutes before market open. The NOII therefore enhances market participants’ trading ability and helps them spot new trading opportunities. It also increases market transparency by supplying users with detailed information about opening and closing orders, as well as likely opening and closing prices for a security.

BREAKING DOWN 'Net Order Imbalance Indicator (NOII)'

The NOII information is disseminated every five seconds between 9:28am and 9:30am EST for the opening cross, and between 3:50pm and 4pm for the closing cross.

The NOII provides invaluable information on order imbalances, since it includes the following data elements:
  • Near indicative clearing price: This is the crossing price at which orders in the Nasdaq opening/closing book and continuous book would clear against each other at the dissemination time.
  • Far indicative clearing price: The crossing price at which orders in the Nasdaq opening/closing book would clear against each other at the dissemination time.
  • Current reference price: The reference price within the Nasdaq Inside (i.e. the highest bid / lowest ask) at which paired shares (matched buy and sell market orders) are maximized and the order imbalance is minimized.
  • Number of paired shares: The number of shares that can be paired off at the current reference price.
  • Imbalance quantity: The size of the imbalance, i.e. the number of opening or closing shares that would remain unexecuted at the current reference price.
  • Imbalance side: Denotes whether a buy-side or sell-side imbalance exists, or whether there is no imbalance.
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