{"text_format":"2","workbook":"xls","n_sheets":3,"sheets":["Introduction","NZX Opening Auction Algorithm","Opening Auction Algorithm Doc."],"not_rendered":{"charts":1,"images":7,"macros":0,"external_links":1,"defined_names":0,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"run_cost":"one","rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900","formulas":"cached_only"}

{"sheet":"Introduction","index":0,"n_rows":0,"n_cols":0,"rows_kept":0,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}

{"sheet":"NZX Opening Auction Algorithm","index":1,"n_rows":100,"n_cols":7,"rows_kept":100,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"NZX TRADING SYSTEM - OPENING AUCTION ALGORITHM"]
[]
[null,"FBU PRE OPEN TUE MAY 6 2014 9:59:07 (Crossed-book, recorded by me just before the 10:00 open.)"]
[null,"BUY  QUANTITY","PRICE","PRICE","SELL QUANTITY"]
[null,1347,9.8,9.65,2000,"Given the overlap (see highlighting), some of"]
[null,1423,9.76,9.7,1050,"these orders must be immediately marketable"]
[null,1303,9.75,9.75,5163,"For example, there are orders to sell between $9.65 and $9.80 (or better) and"]
[null,50,9.73,9.77,2000,"there are orders to buy between $9.65 and $9.80 (or better)."]
[null,2530,9.7,9.78,8593]
[null,144,9.67,9.8,22505,"At what price could we clear the overlapping orders?"]
[null,1830,9.66,9.82,3000]
[null,1350,9.65,9.85,8308]
[null,6259,9.6,9.89,1916]
[null,50,9.59,9.9,25194]
[]
[null,16286,null,null,79729]
[]
[null,"Cumulative Buy and Sell Quantities at each Price"]
[null,"CUMULATIVE","BUY","PRICE","SELL","CUMULATIVE"]
[null,"BUY QTY","QTY AT PRICE",null,"QTY AT PRICE","SELL QTY"]
[null,1347,1347,9.8,22505,41311,"There are 41,311 shares offered at 9.80 or lower,"]
[null,1347,0,9.78,8593,18806,"but only 1,347 bid at 9.80 or higher. "]
[null,1347,0,9.77,2000,10213]
[null,2770,1423,9.76,0,8213,"As we walk down the prices, they become more"]
[null,4073,1303,9.75,5163,8213,"attractive to buyers, and less attractive to sellers."]
[null,4123,50,9.73,0,3050,"As shown in the cumulative totals in the plot…"]
[null,6653,2530,9.7,1050,3050]
[null,6797,144,9.67,0,2000]
[null,8627,1830,9.66,0,2000]
[null,9977,1350,9.65,2000,2000]
[null,16236,6259,9.6,0,0]
[null,16286,50,9.59,0,0]
[]
[]
[{"$nulls":6},"My students were particularly interested and pleased to see this"]
[{"$nulls":6},"fundamental illustration of supply and demand, and the"]
[{"$nulls":6},"determination of a market-clearing price."]
{"$rows_empty":11}
[null,"Maximum Executable Volume Calculation (See Next Tab)"]
[null,"CUMULATIVE","PRICE","CUMULATIVE","MEV","MINIMUM"]
[null,"BUY QTY",null,"SELL QTY",null,"SURPLUS"]
[null,1347,9.8,41311,1347,"*","The MEV at 9.80 is only 1,347."]
[null,1347,9.78,18806,1347,"*"]
[null,1347,9.77,10213,1347,"*","All prices with a * are excluded at the MEV step."]
[null,2770,9.76,8213,2770,"*"]
[null,4073,9.75,8213,4073,-4140,"The MEV achieves a unique high at 9.75"]
[null,4123,9.73,3050,3050,1073]
[null,6653,9.7,3050,3050,3603]
[null,6797,9.67,2000,2000,"*"]
[null,8627,9.66,2000,2000,"*"]
[null,9977,9.65,2000,2000,"*"]
[null,16236,9.6,0,0,"*"]
[null,16286,9.59,0,0,"*"]
[]
[null,"PRE-OPEN TOP OF THE CLOB (FROM ABOVE)"]
[null,"BUY  QUANTITY","PRICE","PRICE","SELL QUANTITY"]
[null,1347,9.8,9.65,2000,null,"All green cells get executed at 9.75"]
[null,1423,9.76,9.7,1050,null,"Blue cells get a partial execution, with the"]
[null,1303,9.75,9.75,5163,null,"unfilled balance becoming the depth at the"]
[null,50,9.73,9.77,2000,null,"new best ask price. "]
[{"$nulls":6},"Note that 1,347 + 1,423 + 1,303 = 4,073, and"]
[{"$nulls":6},"2,000 + 1,050 + 5,163 - 4,073 = 4,140."]
[null,"FBU POST OPEN TUE MAY 6 2014 10:00:21"]
[null,"BUY  QUANTITY","PRICE","PRICE","SELL QUANTITY",null,"4,073 shares are crossed at 9.75, leaving the "]
[null,50,9.73,9.75,4140,null,"CLOB as shown at the left."]
[null,2530,9.7,9.77,2000]
[null,144,9.67,9.78,8593,null,"The NZX confirmed (May 6, 2014) that my calculation (4,073 shares traded at $9.75)"]
[null,1830,9.66,9.8,22505,null,"was correct for the opening auction trade to clear the crossed limit orders."]
[null,1350,9.65,9.82,3000]
[null,6259,9.6,9.85,8308,null,"Some extra rows in the orderbook that were not originally displayed"]
[null,50,9.59,9.89,1916,null,"can now be seen."]
[null,2100,9.55,9.9,25194]
[null,3700,9.52,9.91,3000]
[null,20000,9.51,9.93,52078]
[]
[null,38013,null,null,130734]
[]
[]
[{"$nulls":6},"And here is the opening CLOB just after 10:00 AM."]
[{"$nulls":6},"Last price showing is 9.75."]
[{"$nulls":6},"Volume is massively bigger than 4,073 because of "]
[{"$nulls":6},"overnight orders executed before the open."]
[{"$nulls":6},"The VWAP of $9.694 shows that the overnight orders"]
[{"$nulls":6},"were executed at prices slightly above the opening auction"]
[{"$nulls":6},"algorithm price."]
[]
[]
[{"$nulls":6},"There is also a closing auction algorithm, described in the"]
[{"$nulls":6},"NZX reference in the introductory tab. It is very similar to"]
[{"$nulls":6},"the opening auction algorithm"]

{"sheet":"Opening Auction Algorithm Doc.","index":2,"n_rows":0,"n_cols":0,"rows_kept":0,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}