NYSE Order Imbalance

The NYSE Order Imbalance data feed enhances the transparency of the NYSE market and improves the quality of opening and closing auctions. This product is a real-time publication of buy and sell imbalances sent at specified intervals throughout the trading day for all NYSE listed securities. The NYSE Order Imbalance feed is currently available to any NYSE OpenBook customer for no additional fee.

NYSE Order Imbalance Exhibit A Form

Download the Customer Interface Specifications
Download the NYSE Order Imbalance FAQ
 

Product Guid: 
00000000-0000-0000-0000-000000000000
  • Access FeeDirect & indirect

    $500 / mo.

Included Data:
Market Covered
NYSE
Instruments Covered
Equities

NYSE Order Imbalance

The NYSE Imbalance datafeed is a separate datafeed which publishes Opening and Closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities.

Access to NYSE OpenBook can be obtained through a market data vendor or by connecting to SFTI (pronounced 'safety'). SFTI stands for Secure Financial Transaction Infrastructure - It is an infrastructure through which customers connect to the market data distribution system and other services provided by SIAC. For more information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

The NYSE Common Access Point® Network is an extranet that serves as a common point of access between the NYSE production networks and the networks of NYSE members, sponsored nonmembers (e.g., institutions, broker / dealers, and individual investors), and market data vendors. The NYSE CAP network will provide connectivity for information products (outbound) as well as, receipt of customers orders (inbound). NYSE OpenBook® data recipients may be members, non-members and market data vendors.

NYSE CAP is operated and maintained by SIAC on behalf of the NYSE. Access to CAP and other market data distribution products can be obtained via SFTI (pronounced 'safety') the Secure Financial Transaction Infrastructure. NYSE CAP is a product of the NYSE, and will only be available for NYSE services. For additional information on CAP the customer guide (spec) is provided below. For additional information on SFTI please contact SFTI@SIAC.COM or call 1-866-USE-SIAC.

Testing for OpenBook Real-Time is available on Tuesday and Thursday evenings from 7:00 p.m. to 9:00 p.m.

Test data is disseminated for all stocks directly by SIAC on behalf of the NYSE. For more information on how to access test data, please contact SFTI@SIAC.COM or call 1-866-USE-SIAC. SFTI (pronounced 'safety') is the Secure Financial Transactions Infrastructure. It is an infrastructure through which customers connect to market data distribution systems and other services provided by SIAC.

Specifications:
NYSE Order Imbalances Client Specification
NYSE Order Imbalances QRC

Publication Period:

Opening Imbalances:
Opening Imbalance messages are disseminated every 5 minutes between 8:30am EST and 9:00am EST.
Opening Imbalance messages are disseminated every 1 minute between 9:00am EST and 9:20am EST.
Opening Imbalance messages are disseminated every 15 second between 9:20am EST and the opening, or 9:35am, whichever comes first.
Continuous Book Clearing publication 2 minutes prior to the open at approximately 9:28am


Closing Imbalances:
Closing Imbalance messages are disseminated every 5 seconds between 3:45pm EST and 4:00pm EST (or until Market close on early closing days).


Information Included:

-Time
-Symbol
-Side of the imbalance (Buy/Sell)
-Paired Quantity (Shares)
-Imbalance Quantity (Shares)
-Reference Price (Last Sale)
-Continuous Book Clearing Price
-Closing Only Clearing Price

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