Determining Price and Volume of Stock Market Orders

Understand how determine price and volume of orders is the key to help investors make accurate decisions in the stock market.

Basic Operating Principles of Securities Order Matching

Before going into how determine price and volume of orders, we need to understand the nature of “order matching”. Basically, order matching is the process by which the trading system of the Stock Exchange (SGDCK) matches corresponding buy and sell orders together based on certain priority principles.

• Purpose: Ensure fairness, transparency and efficiency for all market participants.
• Role: Forming trading prices and creating liquidity for stocks and other securities.
• Mechanism: The system automatically compares pending buy and sell orders. When a buy and sell order that matches the price (or other conditions depending on the order type) is found, the transaction will be executed (matched).

This process takes place continuously during the trading session (for continuous order matching) or at specific times (for periodic order matching), creating constant fluctuations in prices and volumes in the market.

Understanding how to determine price and order volume is key to helping investors

What is Order Matching Volume and Its Important Significance

One of the most important factors that goes hand in hand with price is volume. So What is order volume??

• Define: Order matching volume (Matched Volume or Trading Volume) is the total number of shares (or other securities) that have been successfully traded (matched orders) in a certain period of time (e.g. a trading session, a day, a week) or at a specific price.

This number reflects the excitement and interest of investors in a stock or the whole market. The matched volume has many important meanings:

• Liquidity Measurement: High volume usually indicates that the stock is liquid and can be bought and sold easily without affecting the price too much. Conversely, low volume indicates poor liquidity.
• Reflecting Market Sentiment: Spikes in volume often accompany important events or sharp price movements, indicating excitement (when prices rise) or panic (when prices fall) in the crowd.
• Confirm Price Trend: An uptrend accompanied by increasing volume is generally considered to be sustainable. Conversely, if prices are rising but volume is decreasing, it may be a sign of a weakening trend. The same goes for a downtrend.
• Detect Reversal Signals: Extremely high volume at tops or bottoms can be an early signal of a trend reversal.

Monitoring and analyzing order volume is an indispensable part of the process. determine price and volume of orders comprehensively

What is the Difference Between Matched Trading Volume and Order Volume?

Need to distinguish clearly What is the matched transaction volume? (actual number of shares successfully bought and sold) with order volume (total number of shares ordered to buy or sell by investors into the system).

• Order volume: Includes orders that have not been matched and may be cancelled or modified. It shows intent Investors' transactions at different prices.
• Order matching volume: Is the transaction part has actually happened, represents an agreement on price between the buyer and the seller.

For example, there may be 1 million shares placed for sale at price X, but only 500,000 shares are placed for reciprocal purchase at that price or higher. In that case, the maximum matched volume at price X is only 500,000 shares, even though the sell volume is 1 million. Understanding this difference helps investors more accurately assess the actual supply and demand in the market.

What is Total Matched Volume (Or What is Total Matched Volume)?

When I heard What is total order volume? good What is the total joint volume?, we are talking about the total number of shares of a code on the Vietnam stock exchange specific amount that has been successfully traded during a specified period of time, usually a session or a trading day.

• Calculate: By summing the volume of all individual matched trades during that period.
• Meaning: This number indicates the overall activity level of that stock. Comparing the current total trading volume with the historical average helps identify trading sessions that are volatile, attract large cash flows, or have strong selling pressure.

For example: The total matched volume of stock Y in the day is 5 million shares, showing a very active trading level compared to the average of 1 million shares/day in the previous month. This is an important data when analyzing determine price and volume of orders.

Priority Principle and How to Determine Order Matching Price

The trading system of the Stock Exchanges operates based on clear priority principles to ensure fairness and order when matching orders. determine the matching price strictly adhere to these principles:

1. Price Priority:
   
   • Buy orders with higher prices will be executed first.
   • Sell orders with lower prices will be executed first. ¹  
   • Purpose: Help investors who are willing to buy the highest and sell the lowest to be matched first, promoting transactions.
2. Time Priority:
   
   • If orders have the same price, the order entered into the system first will be executed first.
   • Purpose: To ensure fairness for those who place orders earlier.

How to determine the matching price in the continuous matching session:

The matching price is the price of the pending corresponding order on the system that satisfies the price priority principle.

• When a Buy order is entered: The system will search for the lowest available Sell order. If the bid price ≥ the lowest ask price, the order will be matched at the price of the lowest sell order. If the buy order has a large volume, it may be matched with multiple sell orders at increasing prices until the volume runs out or there are no more matching corresponding sell orders.
• When a Sell order is entered: The system will search for the highest pending Buy order. If the Ask price ≤ the highest Buy price, the order will be filled at the price of the highest Buy order. Similarly, a large Sell order can be filled with multiple Buy orders at decreasing prices.

For example:

• Seller waiting: 1000 shares at 50.0, 2000 shares at 50.1
• Buyer waiting: 1500 shares at 49.9, 500 shares at 49.8
• A Buy order for 1200 shares at 50.1 is entered:
  • Match 1000 CP with Sell order price 50.0 (lowest price priority). Match price is 50.0.
  • There are 200 Buy orders left. The system continues to search for the next lowest sell order at 50.1.
  • Match 200 more shares with Sell order at price 50.1. Match price is 50.1.
• Result: The order to buy 1200 shares was fully executed, with 1000 shares at 50.0 and 200 shares at 50.1.

Method of Determining Price and Order Matching Volume in Each Trading Session

The Vietnamese stock market has different trading sessions (ATO, Continuous, ATC) with their own order matching methods. determine price and volume of orders also varies between sessions.

Periodic Order Matching (Determining opening price – ATO and closing price – ATC)

ATO (At The Opening) and ATC (At The Closing) sessions use a periodic order matching method to determine a single price for all trades executed at that time.

• Principles of price determination: The strike price is the price at which, What is order volume?? That is the largest trading volume achieved.
  
• In case multiple prices reach the maximum matching volume:
  
  • The price that is the same or closest to the reference price (or the closest matching price of the previous session/previous period) will be selected.
  • If there are still multiple satisfactory prices, the higher price will be selected.
• How to do: The system aggregates all buy and sell orders (only LO, ATO/ATC orders are entered in this session) and determines the best price to balance supply and demand based on the above principle. All buy orders with prices higher than or equal to the matching price and sell orders with prices lower than or equal to the matching price will be executed at this single matching price. Time priority still applies if the volume at the matching price is not enough to satisfy all the satisfied orders.
  

Simple example of ATC price determination: Suppose the reference price is 50.0. There are pending orders as follows:

• Buy: 1000 ATC, 2000 price 50.5, 3000 price 50.0
• Sell: 500 ATC, 1500 for 49.5, 2500 for 50.0

The system will calculate the potential matching volume at each price step:

• Price 50.5: Buy (1000+2000) = 3000; Sell (500) = 500 -> Matching Volume = 500
• Price 50.0: Buy (1000+2000+3000) = 6000; Sell (500+2500) = 3000 -> Matching Volume = 3000
• Price 49.5: Buy (1000+2000+3000) = 6000; Sell (500+1500+2500) = 4500 -> Matching Volume = 4500

In this example, the maximum matched volume is 4500 at price 49.5. So the ATC price will be 49.5. What is total matched volume? in this ATC session? That's 4500 shares.

Continuous Order Matching

This is the trading session that takes up the majority of the day. As explained in the priority principle, orders are matched as soon as there is a corresponding order with a price that matches the price in order of price and time priority.

• Limit Order (LO): Match at the counter party's best available price, but not exceeding the set limit price.
• Market Order (MP – only available on HOSE): Immediate execution at the best available prices of the counterparty (buying at the lowest selling price, selling at the highest buying price) until the MP order volume is exhausted. MP orders ensure quick execution but do not guarantee price.

Job determine price and volume of orders In a continuous session, each transaction takes place individually, based on the meeting of supply and demand at each point in time.

Analyze Price and Volume Data to Make Decisions

Understanding the order matching mechanism is fundamental, but applying price and volume data to analysis really gives an edge.

Analyze Price and Volume Data to Make Decisions

How to Calculate Average Order Volume and What It Means

A popular technique is to calculate the Volume Moving Average (VMA), for example the average of 20 sessions. How to calculate order matching volume The average is very simple: add up the total matched volume of the last N sessions and divide by N.

• Compare: Compare the current session's matched volume with the VMA line.
  • Volume > VMA: Active trading session, strong cash flow (or large selling pressure).
  • Volume < VMA: Quiet trading session, market is less volatile or accumulating.
• Mutation: Sessions with spikes in volume (several times higher than the VMA) often signal important changes in supply and demand or market sentiment, which require special attention.

The Relationship Between Price and Volume

The combination of price movements and volume provides important signals:

• Price increase + Volume increase: Confirm strong uptrend, good cash flow.
• Price increase + Volume decrease: The uptrend may be weakening, buying power is exhausted, and there is a risk of correction.
• Price down + Volume up: Confirm strong downtrend, big selling pressure.
• Price decrease + Volume decrease: The downtrend may be slowing down, selling pressure is weakening, the market may be bottoming or moving sideways.
• Divergence: When price makes a new high but volume is lower than the old high (negative divergence), or price makes a new low but volume is lower than the old low (positive divergence), these are warning signs of a potential reversal.

Reading Market Psychology Through Volume

Volume is a measure of market sentiment:

• Maximum mass at the top: Usually shows extreme excitement of buyers and distribution of goods by "big hands", easily leading to a downward reversal.
• Maximum mass at the bottom: Often shows panic selling by small investors and bottom fishing by large money flows, which can be a bottoming signal.
• Volume spikes on news: Reflects the market's reaction to information. Monitoring Market News and comparing it to volume changes can provide valuable insights into how much impact that news has.

Notes When Analyzing and Using Order Matching Data

Analysis determine price and volume of orders requires careful consideration and a combination of factors:

• Market context: Always consider volume in the context of the overall market (uptrend, downtrend, sideways) and industry and stock characteristics.
• Combine other indicators: Don’t rely solely on volume. Combine with other technical indicators (MA, RSI, MACD…) and fundamental analysis for a comprehensive view.
• Negotiated transaction: Note that the matched volume on the electronic board does not include negotiated transactions (usually large transactions that are negotiated separately).
• Confounding factors: Sometimes spikes in volume can be due to fund portfolio restructuring activities or special trades, which do not entirely reflect natural supply and demand.
• Practice and experience: Reading and analyzing volume takes practice and experience gained through observing real markets.

Conclude

Understanding how determine price and volume of orders It is not only about mastering the basic operating rules of the stock market but also about equipping yourself with a powerful analytical tool. From understanding What is order volume?, as distinguished from order volume, known how to calculate order volume on average, to the recognition of the meaning of What is total order volume? (or What is the total joint volume?) and analyze the relationship between price and volume, investors can make deeper judgments about market trends, liquidity and sentiment.

While there is no holy grail tool that guarantees 100% success, mastering order matching data analysis will certainly help you improve your decision-making ability, manage risks better, and be more confident on your investment journey. Always learn, observe, and apply knowledge flexibly. To improve your investment knowledge and skills, you can refer to more in-depth analysis documents from HVA.