Limits of Auction Data for Measuring Unmatched Orders in Chinese Stocks

Summary

This post raises questions about the usefulness and timing of Chinese stock opening-auction data. It proposes deriving unmatched order volume by subtracting cancellation and matched-trade volume from total submitted volume, then estimating an unmatched amount using the auction trade price. The author says these calculations do not reveal whether buyers or sellers dominate at particular price levels and differ from figures shown by a market-data service.

The discussion asks whether unmatched amount data, including the 9:25 tick, can be added, and argues that auction data would need to refresh during the morning rather than only later in the day. As an alternative, it suggests including the 9:25 observation in a derived one-minute bar table, similar to an existing bar dataset. These are data-quality and coverage requests, not a validated trading signal; the post provides no reconciliation method, source explanation, or evidence that the proposed fields would resolve the discrepancies.

Key ideas

• Unmatched auction volume can be estimated as submitted volume minus cancellations and matched trades.
• Multiplying the unmatched volume by the auction trade price gives a proposed unmatched amount estimate.
• Aggregate auction totals do not show which side dominates at specific price levels.
• The author reports discrepancies between the calculated data and a third-party service.
• The post requests early updates or a 9:25 observation in a derived intraday bar table.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.