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Rule 1: Determine the maximum matching quantity at a price level.

Maximum Matching Quantity
Cumulative Sum of BidsBid QuantityPriceAsk QuantityCumulative Sum of Offers

10

10

51

30

357

30

20

50

100

327

60

30

49

1

227

100

40

48

25

226

150

50

47

1

201

220

70

46

100

200

320

100

45

90

100

321

1

44

4

10

351

30

43

6

6

Executed Quantity = 200

The largest cumulative quantity of bids and offers that can be executed is at the price level of 46. The 200 offer instruments can be matched with the 220 Bid instruments available providing the greatest number of instruments matched of 200. So, the Indicative Opening Price is 46.

If Rule 1 does not produce an Indicative Opening Price then include Rule 2.

Rule 2: Determine the minimum non-matching quantity.

Minimum Non-Matching Quantity

Cumulative Sum of BidsBid QuantityPriceAsk QuantityCumulative Sum of Offers

10

10

51

30

306

30

20

50

100

276

60

30

49

1

176

100

40

48

25

175

150

50

47

0

150

180

30

46

50

150

280

100

45

90

100

281

1

44

4

10

311

30

43

6

6

Executed Quantity = 150
At price levels of 46 and 47 there is a tie for the number of instruments that can match, 150 at each price level. At price level 47, the non-matching quantity is 0 (150 Bid - 150 offer = 0).

At price level 46, the non-matching quantity is 30 (180 Bid - 150 offer = 30). So, the Indicative Opening Price is 47, where there is the least number of unmatched instruments.

If Rules 1 and 2 do not produce a Indicative Opening Price, then include Rule 3.

Rule 3: Determine the highest price if the non-matching quantity is on the buy side for all prices.

Highest Price

CumulativeSum of BidsBid QuantityPriceAsk QuantityCumulative Sum of Offers

10

10

51

30

306

30

20

50

100

276

60

30

49

1

176

100

40

48

25

175

180

80

47

0

150

180

0

46

50

150

200

20

45

90

100

230

30

44

4

10

260

30

43

6

6

Executed Quantity = 150
At price level 47, the largest cumulative quantity of Bids is 180. The largest cumulative quantity of offers is 150. The number of instruments that can match at price 47 is 150 instruments. The remaining non-matching Bid instruments = 30 (180 Bid - 150 offer = 30).

At price level 46, the largest cumulative quantity value of Bids is 180. The largest cumulative quantity of offers is 150. The number of instruments that can match at price 46 is 150 instruments. The remaining non-matching Bid instruments = 30 (180 Bid - 150 offer = 30).

The Indicative Opening Price is 47, which is the highest price where the unmatched instruments are Bid instruments.

Rule 4: Determine the lowest price if the non-matching quantity is on the sell side for all prices.

Lowest Price

Cumulative Sum of BidsBid QuantityPriceAsk QuantityCumulative Sum of Offers

10

10

51

30

306

30

20

50

100

276

60

30

49

1

176

100

40

48

25

175

110

10

47

0

150

110

0

46

50

150

130

20

45

90

100

160

30

44

4

10

190

30

43

6

6

Executed Quantity = 110

At price level 47, the largest cumulative quantity of Bids is 110. The largest cumulative quantity value of offers is 150. The number of instruments that can match at price 47 is 110 instruments. The remaining non-matching quantity is 40 (150 offer - 110 Bid = 40).

At price level 46, the largest cumulative quantity value of Bids is 110. The largest cumulative quantity value of offers is 150. The number of instruments that can match at price 47 is 110 instruments. The remaining non-matching quantity is 40 (150 offer - 110 Bid = 40).

The Indicative Opening Price is 46, which is the lowest price where the unmatched instruments are Offer instruments.

If Rule 3 and 4 have a tie then include Rule 5.

Rule 5: Determine the closest price to the settlement price (reference price).

Closest Price to the Settlement Price (Reference Price)

Cumulative Sum of BidsBid QuantityPriceAsk QuantityCumulative Sum of Offers

50

50

51

30

280

70

20

50

100

250

150

80

49

0

150

150

0

48

0

150

150

0

47

0

150

150

0

46

0

150

150

0

45

70

150

150

0

44

60

80

150

0

43

20

20

Executed Quantity = 150
Settlement Price (Reference Price) = 46
At price levels 45 through 49, matches can occur at the calculated maximum number of 150 instruments. Each price level shows accumulated totals of 150 Bids and 150 Offers which when matched results in zero remaining instruments. Indicative Opening Price is the price closest to settlement.

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