Open, close and float prices are calculated by a four step process using conditional rules. This means that the rules in step 1 are applied. If a price is not calculated, then the calculations proceed to step 2 and so forth.

The process is complex, but a summary is as follows –

Step 1 - Maximum Executable Volume.

This is a 2 step process, with the first step calculating how much volume is available at each price. When you place a BUY limit order for $1.00, it is assumed that you are willing to pay upto $1.00 but would happily accept a lower price. The computer system then calculates how much volume is available at every price and adds it up as it goes down the list. If there are 1000 shares at $1.00 and 2000 shares wanted at $0.99, then the total volume at $1.00 is 1000, but is 3000 (2000 + 1000) at $0.99. The same is done for the sell orders. This is the cumulative volume.

The second step is to calculate the total tradeable volume at each price. The computer looks at the cumulative volume for the buys and the cumulative volume for the sells and gives the smaller volume from the two. This is the maximum number of shares that could be traded at that price.

The computer now has a list of prices and volumes that can be traded at each price. The price with the biggest volume is the opening price. If there are 2 or more prices with equal volumes, these prices are then moved to Step 2.

Step 2 - Minimum Surplus.

This step looks at the prices from Step 1 and finds which price, if it was the open, would have the smallest number of shares not traded after open. The minimum surplus is equal to the cumulative volume of the buys minus the cumulative volume of the sells at each price.

The lowest difference is the open price. If there is still a tie, then the process moves to Step 3.

Step 3 - Market Pressure.

The next step identifies whether there is more buying or selling pressure. If the pressure is on buying, then the higher price is the open price. Conversely, if there is more selling pressure, then the lower price is the open price. If both buying and selling pressure exists, or there was no surplus for 2 prices (from Step 3), then Step 4 is used.

Step 4 - Consulting The Reference Price.

The reference price is the last on market trade. If one has not occurred today, then this is the closing price from yesterday. There are a number of steps involved in this phase, but to simplify it, if the reference price is greater than the possible open prices, then the higher price is the open. If the reference price is lower than the possible opens, then the lower price is the open. If the reference price is greater than one but smaller than the second, then the reference price is the open price.

This is the process when the buyers and sellers overlap (ie buyers are willing to take a price higher than sellers are willing to accept). If there is no overlap (buyers and sellers won’t budge to come to each others price range), then the open price is the first price traded that day during normal trade. If no trade occurs during the day and they still don’t overlap at the close, the close is the price of the last trade when ever that may have occurred.
The important thing to learn from this process is that you can place a buy order in at night that is far above someone else’s price to get your order filled, but you will not necessarily pay that price. For example, you may place a BUY limit order for $1.10, but the market could open at $1.03 (the price you end up paying). However, this is a limit order and you have agreed to pay to this limit.