see how share price calculated in pre-opening session..MUST WATCH
11
Market Depth Logic for Pre-open Session 1 Pre-open Session
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see how share price calculated in pre-opening session(between 9 am to 9.15 am).
Transcript of see how share price calculated in pre-opening session..MUST WATCH
Market Depth Logic for Pre-open Session
1Pre-open Session
Market Depth View In Continuous Session
Following is the market depth and order book for a scrip whose details are as Prev Close : 100 Upper Ckt : 120 Lower Ckt : 80 Tick Size : 0.05
Price B Qty S Qty
101.50 300
101.25 100
101.00 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
Order BookMarket Depth
Suppose a buy order B: 300 Qty @ 101 is entered in the system, then market depth as per best 5 logic is as follows :
300
Such Situation does not exist in continuous session as all matchable orders are matched immediately, however in pre-open session it may exist
Crossed Order Book
100 100.00 100.50 100100 99.75 100.75 100100 99.50 101.00 500500 99.25 101.25 100100 99.00 101.50 300
300 101.00 100.50 100100 100.00 100.75 100100 99.75 101.00 500100 99.50 101.25 100500 99.25 101.50 300
2Pre-open Session
Volume Maximization Logic used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
In Pre-open session all orders (matchable & non matchable ) are aggregated by price
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order Book
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the indicative price
3Pre-open Session
In Volume Maximization Algorithm, orders are collected for defined period and then trades are generated at a price at which maximum shares can be traded. The determined price is the opening Price.
The Steps performed to arrive at the indicative price are :
During Pre-open session indicative opening price is determined and broadcasted at periodic interval till final opening price is established
Market Depth Display Logic Used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order BookMarket Depth is constructed for this order book as follows
In Pre-open session all orders (matchable & non matchable) are aggregated by price and the quantities at each price is cumulated
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the equilibrium price
Price Point 1: Shows the Indicative Price
Price Point 1
Price Point 2
Price Point 4
Price Point 3
Price Point 5
Buy quantity is cumulated from the best price till the indicative price.
300 101.00 101.00 700
Sell quantity is cumulated from the best price till the indicative price.
In this situation, all the orders at price better than the price point 1 will not be shown in the market depth. All those orders will definitely get executed if matching occurs at that point in time
4Pre-open Session
Market Depth Logic Used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order BookMarket Depth is constructed for this order book as follows
Price Point 1: Shows the Indicative Price
Price Point 1
Price Point 2
Price Point 4
Price Point 3
Price Point 5
Buy quantity is cumulated from the best price till the indicative price.
300 101.00 101.00 700
Sell quantity is cumulated from the best price till the indicative price.
Price Point 2: Shows the next best price from Indicative Price onwards
Buy quantity is cumulated from the best price till the price point 2.Sell quantity is cumulated from the best price till the price point 2.
400 100.00 101.25 800
In Pre-open session all orders (matchable & non matchable) are aggregated by price and the quantities at each price is cumulated
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the equilibrium price
5Pre-open Session
Market Depth Logic Used in Pre-open Session
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
Order BookMarket Depth is constructed for this order book as follows
Price Point 1
Price Point 2
Price Point 4
Price Point 3
Price Point 5
300 101.00 101.00 700
400 100.00 101.25 800
Similar to Price point 2 , Price Point 3 , 4 , 5 are constructed
500 99.75 101.25 1100
600 99.50
1100 99.25
The Last Trade Rate Field will show the indicative priceand the Last trade quantity field will show the tradable quantity
101.00
300
In Pre-open session all orders (matchable & non matchable) are aggregated by price and the quantities at each price is cumulated
Quantities are cumulated at each price point.
Tradable quantity is determined at each price point
Price Point with maximum tradable quantity is the equilibrium price
6Pre-open Session
Market Depth Logic Comparison: Pre-Open v/s Best 5
Market Depth display logic used in Pre-open Session was explained in previous slides, To Summarize :
First Price point will show the indicative price and cumulative quantity at indicative price.
The next four price points will show the next best price from indicative price onward
The Quantities at each of four price point will be cumulative quantity from the best price till the respective price point.
For an order book of scrip during the pre-open session , next slides will show the difference in market depth display as per pre-open logic vis-à-vis the best 5 logic
7Pre-open Session
Order BookMarket Depth as per Pre-open Logic
Market depth as per best 5 logic
Price Buy Sell
101.50 300
101.25 100
101.00 300 500
100.75 100
100.50 100
100.00 100
99.75 100
99.50 100
99.25 500
99.00 100
B cumm S cumm
0 1100
0 800
300 700
300 200
300 100
400 0
500 0
600 0
1100 0
1200 0
Tradable
0
0
300
200
100
0
0
0
0
0
300 101.00 101.00 700
400 100.00 101.25 800
500 99.75 101.25 1100
600 99.50
1100 99.25
101.00
300 101.00 100.50 100100 100.00 100.75 100100 99.75 101.00 500100 99.50 101.25 100500 99.25 101.50 300
300
101.00
300
8Pre-open Session
If few orders are added to the above book, the change in market depth display is shown in next slide
Market Depth Logic Comparison: Pre-Open v/s Best 5
Order Book
Market Depth as per Pre-open Logic
301 101.00 101.00 701
401 100.00 101.25 801
501 99.75 101.50 1101
601 99.50
1101 99.25
101.00
301
Price B Qty S Qty B cumm S cumm Tradable
110.00 1 1 1101 1
101.50 300 1 1101 1
101.25 100 1 801 1
101.00 300 500 301 701 301
100.75 100 301 201 201
100.50 100 301 101 101
100.00 100 401 1 1
99.75 100 501 1 1
99.50 100 601 1 1
99.25 500 1101 1 1
99.00 100 1201 1 1
91.00 1 1201 1 1
Market depth as per best 5 logic
1 110.00 91.00 1300 101.00 100.50 100100 100.00 100.75 100100 99.75 101.00 500100 99.50 101.25 100
101.00
301
B : 1 Qty@ 110 S : 1 Qty@ 91 are added, then
9Pre-open Session
If few more orders are added to the above book, the change in market depth display is shown in next slide
Market Depth Logic Comparison: Pre-Open v/s Best 5
Order Book
Price B Qty S Qty B cumm S cumm Tradable
110.00 1 1 1105 1
109.00 1 2 1105 2
108.00 1 3 1105 3
107.00 1 4 1105 4
106.00 1 5 1105 5
101.50 300 5 1105 5
101.25 100 5 805 5
101.00 300 500 305 705 305
100.75 100 305 205 205
100.50 100 305 105 105
100.00 100 405 5 5
99.75 100 505 5 5
99.50 100 605 5 5
99.25 500 1105 5 5
99.00 100 1205 5 5
95.00 1 1205 5 5
94.00 1 1205 4 4
93.00 1 1205 3 3
92.00 1 1205 2 2
91.00 1 1205 1 1
Market Depth as per pre-open session logic
305 101.00 101.00 705405 100.00 101.25 805505 99.75 101.50 1105605 99.50
1105 99.25
Market Depth as per best 5 logic
1 110.00 91.00 11 109.00 92.00 11 108.00 93.00 11 107.00 94.00 11 106.00 95.00 1
Following orders are entered B: 1 Qty@ 110 S: 1 Qty@ 91B: 1 Qty@ 109 S: 1 Qty@ 92B: 1 Qty@ 108 S: 1 Qty@ 93B: 1 Qty@ 107 S: 1 Qty@ 94B: 1 Qty@ 106 S: 1 Qty@ 95
10Pre-open Session
101.00
301
101.00
301
In this scenario, the market depth as per best 5 logic shows the best 5 buy and sell orders which are quite away from the indicative tradable price while the market depth as per Pre-open session logic always shows the price around the indicative tradable price.
Further in market depth during Pre-open session, all the orders at price better than price shown in the price point 1 will not be shown in the market depth. All those orders will definitely get executed if matching occurs at that point in time
Market Depth Logic Comparison: Pre-Open v/s Best 5
