Net Order Imbalance Indicator (NOII)

Net Order Imbalance Indicator (NOII) is order imbalance information about the opening and closing crosses on the Nasdaq stock market, given to market users prior to executing the crosses. The 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.

Net Order Imbalance Indicator (NOII) boosts market participants’ trading ability by helping them identify new trading opportunities. It increases market transparency by supplying investors and advisers with a large amount of information about opening and closing orders, as well as the likely opening and closing prices for a security. 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 data elements included in the NOII are: near indicative clearing price, far indicative price, current reference price, number of paired shares, imbalance quantity and imbalance side.

The near indicative price is the crossing price at which orders in the Nasdaq opening, closing and continuous book would clear against each other at the dissemination time. The far indicative clearing price is the crossing price at which orders in the Nasdaq opening and closing book would clear against each other at the time of dissemination.

The current reference price is the reference price within the Nasdaq Inside, i.e., the highest bid and lowest ask, at which paired shares, also called matched buy-and-sell market orders, are maximized while minimizing the order imbalance. If the field is null or blank in the NOII display, it is because there is no Current Reference Price for that particular security.

The number of paired shares is the amount of shares that can be paired off at the current reference price. For the opening and closing cross, this calculation will include all orders that can be matched at the Current Reference Price. For the IPO and trading halt opening process, this calculation would include regular-hour orders and quotes that are eligible to be matched at the Current Reference Price.

The imbalance quantity is the size of the imbalance, or in other words, the number of opening or closing shares that would remain unexecuted at the current reference price. The imbalance side denotes whether a buy-side or sell-side imbalance exists, or whether there is no imbalance.