Margining of Institutional Trades
Example 1: Exactly one limit price at which executable volume is maximum
Order Book
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 100 ATO 91 100 7
2 100 96 91.5 100 8
3 150 95 93 100 9
4 50 93 95 100 10
5 100 91.5 96 200 11
6 100 91
 
Demand Supply Schedule:
Price
Point		 Cumulative Buy
Quantity		 Cumulative Sell
Quantity		 Tradable
Quantity
96.00 200 600 200
95.00 350 400 350
93.00 400 300 300
91.50 500 200 200
91.00 600 100 100
 

The opening price is determined at 95, where the tradable quantity is maximum at 350 units
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
2 7 100
3 8 100
3 9 50
1 9 50
1 10 50
 
 
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
4 50 93 95 50 10
5 100 91.5 96 200 11
6 100 95 91    
 
Order Book:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 1000 ATO ATO 500 7
2 1000 96.30 94.00 500 8
3 3000 96.20 96.20 1000 9
4 1500 94.00 96.30 3500 10
5 2000 92.00 98.00 3000 11
6 1000 90.00
 
 
Demand Supply Schedule:
Price
Point		 Cumulative Buy
Quantity		 Cumulative Sell
Quantity		 Tradable
Quantity		 Absolute Order
Imbalance **
98.00 1000 8500 1000  
96.30 2000 5500 2000 3500
96.20 5000 2000 2000 3000
94.00 6500 1000 1000  
92.00 8500 500 500  
90.00 9500 500 500  
 
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
2 8 500
2 9 500
3 9 500
3 7 500
 
 
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 1000 96.20(market
carried forward as
limit at the opening price)		 96.30 3500 10
3 2000 96.20 98.00 3000 11
4 1500 94      
5 2000 92      
6 1000 90      
 
Order Book:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 1000 ATO ATO 500 7
2 1000 96.30 94.00 500 8
3 3000 96.20 96.20 1000 9
4 1500 94.00 96.30 3000 10
5 2000 92.00 98.00 3000 11
6 1000 90.00
 
Demand Supply Schedule:
Price
Point		 Cumulative Buy
Quantity		 Cumulative Sell
Quantity		 Tradable
Quantity		 Absolute Order
Imbalance **
98.00 1000 8000 1000
96.30 2000 5000 2000 3000
96.20 5000 2000 2000 3000
94.00 6500 1000 1000
92.00 8500 500 500
90.00 9500 500 500
Here at price points 96.20 and 96.30 the tradable quantity is maximum and the absolute order imbalance is minimum. We therefore reference the previous closing price to arrive at the final opening price.

3 a) if previous close is 96.50, then the opening price will be 96.30
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
2 8 500
2 9 500
1 9 500
1 10 500
 
 
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
3 3000 96.20 96.30(Market carried forward as Limit at the opening price) 500 7
4 1500 94.00 96.30 2500 10
5 2000 92.00 98.00 3000 11
6 1000 90.00      
 
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
2 8 500
2 9 500
3 9 500
3 7 500
 
 
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 1000 96.20(Market carried forward as Limit at the opening price) 96.30 3000 10
3 2000 96.25 98.00 3000 11
4 1500 94.00      
5 2000 92.00      
6 1000 90.00      
 
3 c) If Previous Close is 96.25- which is exactly between the potential opening prices, then the opening price will be 96.25
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
2 8 500
2 9 500
1 9 500
1 7 500
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
3 3000 96.20 96.30 3000 10
4 1500 94.00 98.00 3000 11
5 2000 92.00      
6 1000 90.00      
 
Example 4: If there are only market orders on sell side of the order book
Order Book
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 100 ATO ATO 100 6
2 50 95 ATO 50 7
3 100 94 ATO 50 8
4 100 93      
5 200 92      
Demand Supply Schedule:
Price
Points		 Cumulative Buy Cumulative Sell Tradable
Quantity		 Order
Imbalance
95.00 150 200 150  
94.00 250 200 200 50
93.00 350 200 200 150
92.00 550 200 200 350
 

The Opening Price is determined at 94.00 at which the tradable quantity is maximum and the absolute order imbalance is minimum
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
2 6 50
3 6 50
3 7 50
1 8 50
1 10 50
 
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 50 94(Market order carried forward as limit at opening price)      
4 100 93      
5 200 92      
 
Example 5: If there are only market orders on the buy side of the order book
Order Book
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 100 ATO 200 ATO 5
2 150 ATO 100 92 6
3 50 ATO 100 93 7
4 100 ATO 150 94 8
      100 95 9
 
Demand Supply Schedule:
Price
Points		 Cumulative Buy Cumulative Sell Tradable Quantity Order Imbalance
95.00 400 650 400 250
94.00 400 550 400 150
93.00 400 400 400 0
92.00 400 300 300 100
 
 

The opening price determined is 93.00, where the tradable quantity is maximum and the absolute order imbalance is minimum
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
1 6 100
2 7 100
2 5 50
3 5 50
4 5 100
 
Pending Orders:
Order
No.		 Buy Quantity Buy Price Sell Price Sell Quantity Order No.
      150 94 8
      100 95 9
           
 
Example 6: If there are only market orders in the order book
Order Book
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 50     50 5
2 100     150 7
3 50     100 7
4 100     150 8

In case there are only market orders in the order book then matching will occur at the previous closing price and all unexecuted orders will be shifted to the order book of the continuous market as limit orders priced at the previous day's closing price.
Let the previous day's closing price be 100
Matching of Orders:
Buy Order No. Sell Order No. Match Quantity
1 5 50
2 6 100
3 6 50
4 7 100
4 5 100
 
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
      100( Market carried forward as limit at previous day's close 150 8
 
Example 7: No matchable quantity exists
Order Book
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 100 95 97 50 7
2 100 95 98 150 8
4 200 94 99 100 9
6 150 92      

Here there is no overlap in the buy and the sell prices. All the sell prices are greater than the buy prices. No matching is possible in this scenario. All Orders will be shifted to the order book of the continuous trading session following price time priority.
Pending Orders:
Order No. Buy Quantity Buy Price Sell Price Sell Quantity Order No.
1 100 95 97 50 7
2 100 95 98 150 8
4 200 94 99 100 9
5 100 93 100 100 10
6 150 92      
The opening price will be the price of the first trade executed during the continuous session