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Examples on how to determine opening prices

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How to determine the opening price:

  • method 1: don't calc aggregated quantities; check from the best bid and best ask, step by step, until bid price and ask price meet.
  • method 2: calc aggregated quantities, find the two possible prices, then calc from there.

Example:

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000market 

Using method 1:

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000 2,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000 2,000 1,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000 7,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000 2,000 1,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000 7,000 3,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000 2,000 1,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000 7,000 3,000 1,000
4,00050010,000
2,0004998,000
4,00049830,000
   
6,000 2,000 1,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000 7,000 3,000 1,000
4,000 3,00050010,000
2,0004998,000
4,00049830,000
   
6,000 2,000 1,000market 

AskPriceBid
 market4,000
   
8,0005021,000
20,0005018,000 7,000 3,000 1,000
4,000 3,00050010,000 7,000
2,0004998,000
4,00049830,000
   
6,000 2,000 1,000market 

AskPriceBid
 market 
   
8,000502 
20,000501 
 5007,000
 4998,000
 49830,000
   
 market 

Using method 2

AskPriceBid
aggregatedquantityquantityaggregated
  market4,0004,000
     
44,0008,0005021,0005,000
36,00020,0005018,00013,000
16,0004,00050010,00023,000
12,0002,0004998,00031,000
10,0004,00049830,00061,000
     
6,0006,000market  

Possible opening price: 500 or 501. So ask quantities at prices less than 500 and bid quantities at prices greater than 501 should all be executed.

AskPriceBid
aggregatedquantityquantityaggregated
  market4,0004,000
     
 8,0005021,0005,000
 20,0005018,000 
 4,00050010,000 
12,000 7,0002,0004998,000 
10,0004,00049830,000 
     
6,0006,000market  

AskPriceBid
aggregatedquantityquantityaggregated
  market4,0004,000
     
 8,0005021,0005,000
 20,0005018,000 1,000 
 4,00050010,000 
12,000 7,0002,0004998,000 
10,0004,00049830,000 
     
6,0006,000market  

AskPriceBid
aggregatedquantityquantityaggregated
  market4,0004,000
     
 8,0005021,0005,000
 20,0005018,000 1,000 
 4,000 3,00050010,000 
12,000 7,0002,0004998,000 
10,0004,00049830,000 
     
6,0006,000market  

AskPriceBid
aggregatedquantityquantityaggregated
  market4,0004,000
     
 8,0005021,0005,000
 20,0005018,000 1,000 
 4,000 3,00050010,000 7,000 
12,000 7,0002,0004998,000 
10,0004,00049830,000 
     
6,0006,000market  

AskPriceBid
aggregatedquantityquantityaggregated
  market  
     
 8,000502  
 20,000501  
  5007,000 
  4998,000 
  49830,000 
     
  market  

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