Examples on how to determine opening prices
iDog
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:
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 | market | |
Using method 1:
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 1,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 7,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 1,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 7,000 3,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 1,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 7,000 3,000 1,000 |
4,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 1,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 7,000 3,000 1,000 |
4,000 3,000 | 500 | 10,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 1,000 | market | |
Ask | Price | Bid |
| market | 4,000 |
| | |
8,000 | 502 | 1,000 |
20,000 | 501 | 8,000 7,000 3,000 1,000 |
4,000 3,000 | 500 | 10,000 7,000 |
2,000 | 499 | 8,000 |
4,000 | 498 | 30,000 |
| | |
6,000 2,000 1,000 | market | |
Ask | Price | Bid |
| market | |
| | |
8,000 | 502 | |
20,000 | 501 | |
| 500 | 7,000 |
| 499 | 8,000 |
| 498 | 30,000 |
| | |
| market | |
Using method 2
Ask | Price | Bid |
aggregated | quantity | quantity | aggregated |
| | market | 4,000 | 4,000 |
| | | | |
44,000 | 8,000 | 502 | 1,000 | 5,000 |
36,000 | 20,000 | 501 | 8,000 | 13,000 |
16,000 | 4,000 | 500 | 10,000 | 23,000 |
12,000 | 2,000 | 499 | 8,000 | 31,000 |
10,000 | 4,000 | 498 | 30,000 | 61,000 |
| | | | |
6,000 | 6,000 | market | | |
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.
Ask | Price | Bid |
aggregated | quantity | quantity | aggregated |
| | market | 4,000 | 4,000 |
| | | | |
| 8,000 | 502 | 1,000 | 5,000 |
| 20,000 | 501 | 8,000 | |
| 4,000 | 500 | 10,000 | |
12,000 7,000 | 2,000 | 499 | 8,000 | |
10,000 | 4,000 | 498 | 30,000 | |
| | | | |
6,000 | 6,000 | market | | |
Ask | Price | Bid |
aggregated | quantity | quantity | aggregated |
| | market | 4,000 | 4,000 |
| | | | |
| 8,000 | 502 | 1,000 | 5,000 |
| 20,000 | 501 | 8,000 1,000 | |
| 4,000 | 500 | 10,000 | |
12,000 7,000 | 2,000 | 499 | 8,000 | |
10,000 | 4,000 | 498 | 30,000 | |
| | | | |
6,000 | 6,000 | market | | |
Ask | Price | Bid |
aggregated | quantity | quantity | aggregated |
| | market | 4,000 | 4,000 |
| | | | |
| 8,000 | 502 | 1,000 | 5,000 |
| 20,000 | 501 | 8,000 1,000 | |
| 4,000 3,000 | 500 | 10,000 | |
12,000 7,000 | 2,000 | 499 | 8,000 | |
10,000 | 4,000 | 498 | 30,000 | |
| | | | |
6,000 | 6,000 | market | | |
Ask | Price | Bid |
aggregated | quantity | quantity | aggregated |
| | market | 4,000 | 4,000 |
| | | | |
| 8,000 | 502 | 1,000 | 5,000 |
| 20,000 | 501 | 8,000 1,000 | |
| 4,000 3,000 | 500 | 10,000 7,000 | |
12,000 7,000 | 2,000 | 499 | 8,000 | |
10,000 | 4,000 | 498 | 30,000 | |
| | | | |
6,000 | 6,000 | market | | |
Ask | Price | Bid |
aggregated | quantity | quantity | aggregated |
| | market | | |
| | | | |
| 8,000 | 502 | | |
| 20,000 | 501 | | |
| | 500 | 7,000 | |
| | 499 | 8,000 | |
| | 498 | 30,000 | |
| | | | |
| | market | | |