The Value of Market Depth
With Level 2 Advance, investors can better see the depth of the market for a single security. The bid price, more commonly referred to as a "bid," is the highest current price to buy a security. Similarly, the ask price, "ask," is the lowest price to sell a security. Level 2 Advance provides you with the 30 best bids and asks, giving investors more information to identify strategic buying and selling opportunities.
For Level 2 Advance, we add an order distribution line chart here to show the aggregated volume of 30 price levels. This helps users to view the full depth of orders on the market at a glance.
How to use Level 2 Advance?
Suppose an investor is interested in buying shares of Company ABC and the stock's last price was $186.50.
If he has level 1 market data, he will be able to see the best bid and ask prices, and volume at each of these prices.
Bid: $186.45 Size: 200 Shares
Ask: $186.55 Size: 800 Shares
Based on the information provided by level 1 market data, the sell-side pressure seems larger than the buy-side pressure.
With Level 2 Advance, you can see the best bid and ask by volume on the market 30 levels down,
which may read as:
Bid Size: 60,000 Shares
Ask Size: 20,000 Shares
Since Level 2 Advance allows you to see this aggregated volume of 30 price levels, you have a better view of the total market and may anticipate a price movement. The more one knows about the underlying pressure on a price, the more informed your trades become.
What is Auction Crossing NOII?
The Auction Crossing NOII information gives investors unparalleled transparency into the NASDAQ Opening Cross, Closing cross, IPO and Halt Crosses. This information is intended to inform all market participants equally, and to minimize surprises at the market open and the market close. The NOII disseminates the invaluable details about orders and the likely Opening/Closing prices.
The Auction Process & Crosses
1. The Aggregate Buy & Sell Orders
2. Indicative Cross Orders
3. Determine the Reference Price
4. Imbalance Side
The opening and closing auctions represent the official start and end of the trading day. The auction order book will aggregate all eligible orders at each price level. For buy orders, the aggregate orders are calculated by summing the order quantity up to that price level. For sell orders, the aggregate orders are calculated by summing the order quantity at or higher than that price level.
Near & Far Indicative Clearing Price:
When there are imbalance shares at the reference price level, the auction will continue to seek a crossing price that will clear all the imbalance shares or maximize the matched shares. The near indicative clearing price is the crossing price that using both the auction orders as well as continuous market orders. The near indicative clearing price is most representative of where the auction will ultimately execute. In the similar manner, the far indicative clearing price is the crossing price that using auction orders only.
Current Reference Price
Near Indicative Clearing Price
Far Indicative Clearing Price
07/28 09:28:0007/28 09:30:00
Price Variance Indicator1.27%
The Value of NOII
The exchange-operated opening and closing auctions or “crosses” collect all market and limit orders submitted to the auction and then run with the objective of maximizing the quantity of shares crossed. This insight can reveal the market supply and demand, help reveal new trading opportunities and predict the likely opening and closing prices of a security.