Net Order Imbalance Indicator (NOII)

What Is the Net Order Imbalance Indicator (NOII)?

The 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 actual supply and demand for a stock, based on actual buy-and-sell orders, 10 minutes before the market close and five minutes before the market open.

Understanding the Net Order Imbalance Indicator (NOII)

The 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.

NOII is a product offered by Nasdaq in order for traders to help make better trading decisions. It contains information such as the "top list," which shows the top stocks on the Nasdaq ranked by the number of shares matched, the NOIII history, which shows six days worth of open and close imbalances for a stock, a customized portfolio where a trader can store 50 stocks for easy viewing, and an export feature into Excel.

The cost of NOII is $15 per month for non-pro pricing and $76 per month for professional pricing.

Components of the Net Order Imbalance Indicator (NOII)

The data elements included in the NOII are the near indicative clearing price, far indicative clearing price, current reference price, the number of paired shares, imbalance shares, the price variance indicator, and the clearing indicator.

Near Indicative Clearing Price: The near indicative clearing 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.

Far Indicative Clearing Price: 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.

Current Reference Price: 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.

Paired Shares: The number of paired shares is the number 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 initial public offering (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.

Imbalance Shares: The imbalance shares are 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.

Price Variance Indicator: The price variance indicator measures the difference between the indicative clearing price and the current reference price. It is calculated by taking the absolute value of the percentage of deviation of the near indicative clearing price in relation to the current reference price.

Clearing Indicator: The clearing indicator reflects buy or sell interest that is not able to be paired at the near indicative clearing price or the far indicative clearing price.