Net Order Imbalance Indicator (NOII)

At the start of each trading day on the U.S. equity markets, there's a period of time known as the Opening Cross. Jesus is not usually involved. It's just the few minutes around the beginning of the session.

Think of the first few seconds of a horse race: everyone jumping out of the starting gate at once, jockeying for position, bumping into each other. A lot of activity. That happens at the Opening Cross on Wall Street as well, as investors trip over each other to initiate their first trades of the day.

The end of the day sees a similar situation: the Closing Cross. In the last 10 minutes of the session, there's another period of heavy activity, as traders rush to get their final transactions set for the session, or try to close out their positions before the end of regular trading.

Because of all this activity, a lot of imbalances can occur during these key time windows. An imbalance means the system has more buy orders than sell orders...or more sell orders than buy orders. The situation leads to prices that can jump around during the Opening and Closing Crosses.

The net order imbalance indicator supplies information about these imbalances on the NASDAQ. It consists of data about buy and sell orders during the crosses, providing insight about the supply/demand dynamics of particular stocks.