IPO 竞价介绍

What is the IPO Cross?
NOII (Net Order Imbalance Indicator) is real-time supply and demand data
released to the market by the Nasdaq exchange before the daily opening and closing
auctions.
It reflects whether the buy and sell orders in the order book are balanced at the
moment, the extent of any imbalance, and the approximate price at which
transactions are likely to occur.
Since IPOs do not have a previous day's closing price for reference on their first
trading day, and unlike already-listed stocks, they cannot directly enter continuous
auction trading after the market opens, Nasdaq has established a dedicated IPO
auction period (IPO Cross) before the official trading of IPOs. This is to ensure
fairness and rationality in the price of IPOs on their first trading day and to avoid
significant bid-ask spreads due to the lack of a unified pricing anchor between buyers
and sellers at the opening. During the IPO Cross, the exchange collects buy and sell
orders to determine the first transaction price, that is, the open price of the IPO.
During the IPO Cross, buy and sell orders submitted by investors are not executed
immediately. Instead, the exchange collects orders from both sides and matches them
at a single price that maximizes volume. This price becomes the first transaction price
of the IPO on its listing day, ensuring that the open price truly reflects market supply
and demand and avoiding sharp price fluctuations after the market opens.
The Nasdaq IPO Cross is designed to:
1) Provide fair executions at a single price that maximizes volume and is reflective of
supply and demand in the market.
2) Maximize transparency at IPO opens by disseminating timely imbalance
information to investors.
3) Create an open process in which all investors have the ability to enter orders and
participate in price discovery.
How to monitor the IPO Cross —— NOII Data Analysis
During the Nasdaq IPO Cross, the exchange releases auction data to investors via
NOII every few seconds. This mainly includes the following information:
Reference Price: The estimated open price calculated based on current quotes and
orders, i.e, the price at which a trade would likely be executed if matched
immediately.
Paired Shares: The number of shares that can be matched at the current reference
price. Only orders better than the reference price can be included in the matching, i.e.,
buy orders above the reference price and sell orders below it.
Imbalanced Shares: The number of orders that would remain unexecuted at the
current reference price, reflecting the supply-demand imbalance in the current order
book.
Important field description:
Ref Price: The current reference price for the auction.
Match Volume: The number of shares that can be matched between buyers and
sellers in the current auction.
Imbalance Volume: The remaining order volume in the current auction that cannot be
matched by the counterparty (i.e., excess buy or sell orders)
Imbalance Direction: The side (buy or sell) that has more orders.