Nasdaq Crosses and Auction Imbalances

Discussion in 'Strategy Development' started by Nasdaq101, Apr 24, 2008.

  1. Nasdaq101

    Nasdaq101

    Hi there Guys

    Pretty new to this thread so please bear with me. I wanted to start this thread and hopefully get some input on those of you that trade the imbalances via the NOII (Nasdaq Order Imbalance Indicator)

    On Nasdaq as i am to understand it you the imbalances are published at 3.50pm, unlike the republication that occurs on NYSE.


    Via the NOII you can see the imbalance that occurs. See screenshot 1

    I guess that my question is that since you can only enter orders from 3.50 - 4.00pm which offset the imbalance whats the best way to play this?

    Example:

    Say there is an imbalance to sell 20K shares on WXYZ stock and the stock trades on the open market at $10.15. If there is an imbalance to sell doesn't it make sense that the stock should go down once this imbalance is published?

    In my estimation that is not the case, in fact more often then not the stock goes up, what gives?

    At 15.51pm on the NOII it shows that current reference price, the Near indicative price and the Far Indicative Price.

    The Near Indicative price lets you see roughly where the stock will clear of the order book and the continuous book are brought together at the close.

    Here is an example from today: screenshot 2
     
  2. Nasdaq101

    Nasdaq101

    Sorry here is the screen shot and because this post took a day to post since i am a new member this was yesterdays data.