Indicative Opening Quantity

The Indicative Opening Quantity (IOQ) statistic represents the aggregated quantity of all orders (both visible on the book and not visible on the book) that would be matched at Opening if the market were to open with the corresponding Indicative Opening Price (IOP). The total quantity matched in an opening can  include triggered stop-limit orders and the full (displayed/undisplayed) quantity of iLink tag 210-MaxShow Orders, in addition to visible orders displayed on the MBP and MBO books.

Indicative Opening Quantity (IOQ) Examples

This section contains examples of Indicative Opening Quantity (IOQ) functionality.

Example 1 - IOQ Limit Orders

Given the following orders in the market for the instrument below, during the pre-open state, there is no Indicative Opening Quantity (IOQ) or Indicative Opening Price (IOP), because there are no ask orders.

Next, an ask limit order is sent, which generates an IOP of 803 and an IOQ of 3.

Example 2 - IOQ with Max Show Hidden Quantity 

Given the following orders in the market for the instrument below, during a pre-open state, the current Indicative Opening Price is 804 with an Indicative Opening Quantity (IOQ) of 12, which includes hidden Max Show quantity.  

Example 3 - IOQ with Stop-Limit Order Hidden Quantity 

Given the following orders in the market for the instrument below, during the pre-open state, the current Indicative Opening Price is 803 with an Indicative Opening Quantity (IOQ) of 3.  

Next, a limit order is sent on the bid side with a price of 804 and a quantity of 4.

The new order triggers an IOP of 804. An IOQ of 13 is sent which is the quantity that can be filled at the IOP of 804 or better. The IOQ includes stop-limit and Max Show hidden quantity.