Understanding Auction (TOP / TOV)

Why Price Discovery Matters

Transparent and efficient price discovery is fundamental to fair and orderly markets. During critical trading periods, such as the opening and closing sessions, ADX utilizes an auction mechanism to establish a fair market price reflecting the supply and demand.
The Theoretical Opening Price (TOP) and Theoretical Opening Volume (TOV) are the core outputs of this process.

What is TOP and TOV?

• Theoretical Opening Price (TOP), known in some markets as the Indicative Opening Price, is the auction price at which the maximum number of shares can be traded between buyers and sellers.
• Theoretical Opening Volume (TOV), known in some markets as the Indicative Opening Volume, represents the total volume of shares expected to trade at that price.

When TOP and TOV are Used on ADX

• Pre-Open Auction (9:30 AM – 10:00 AM): Determines the official opening price of the security.
• Pre-Close Auction (2:45 PM – 2:55 PM): Determines the official closing price of the security.
• Circuit Breaker Auctions: Facilitate fair price formation for trading following extreme price movements.

How the Auction Works

During any auction session, orders are entered, amended, or cancelled without execution; the system uses Theoretical Opening Price (TOP) and Theoretical Opening Volume (TOV) to determine the auction price and volume.
The trading system calculates cumulative traded volumes at each price level, the price that maximizes matched volume is selected as the TOP, and the volume that will trade at this price is the TOV.
Note that the TOP and TOV are published during auction sessions only.

How TOP and TOV are Calculated (Technical Overview)

1- For each price level:
     • Cumulative Buy Volume = Sum of buy orders at or above the price
     • Cumulative Sell Volume = Sum of sell orders at or below the price
     • Executable Volume (TOV) = Minimum of cumulative buy and sell volumes

2- The price with the highest executable volume is selected as TOP.

Investor Benefits

• Transparency into price formation.

• Insight into market liquidity.

• Reduced volatility at critical trading phases.