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.
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
Continuous Book Clearing publication 2 minutes prior to the open at approximately 9:28am
Closing Imbalance messages are disseminated every 5 seconds between 3:45pm EST and 4:00pm EST (or until Market close on early closing days).
-Side of the imbalance (Buy/Sell)
-Paired Quantity (Shares)
-Imbalance Quantity (Shares)
-Reference Price (Last Sale)
-Continuous Book Clearing Price
-Closing Only Clearing Price
Is the NYSE Order Imbalances product offered separately from OpenBook?
Yes,the imbalance datafeed is now offered separately from OpenBook at an access fee cost of $500/month
Are regulatory closing imbalances that are published to CT and over NYSE Alerts included in
Yes, regulatory (Rule 123c) closing imbalances will be disseminated over the NYSE Imbalance feed.
Regulatory imbalances are identified through the use of the “Regulatory Imbalance Indicator” field.
Are there situations where I will not receive an imbalance message for a symbol?
Yes, Imbalance messages will not be published in the situations listed below:
1. Since the NYSE Imbalance messages are “delta-based”, if there is no change to the previous
imbalance message no message will be published.
2. If there is no Last Sale Price (e.g., Trading Halted, IPO on the Opening Imbalance), the NYSE
Imbalance feed will generate a single Opening or Closing Paired/Imbalance message with
zero: last sale price, paired quantity, and imbalance quantity.
3. If there is a Last Sale price, but there are no orders, a single Opening or Closing
Paired/Imbalance message with the last sale price and zero: paired quantity, and imbalance
quantity will be generated.
4. If there is paired quantity, but no imbalance quantity, an Opening or Closing Paired/Imbalance
message with paired quantity and zero imbalance quantity will be generated.
Will I need Symbol index mapping for this feed like NYSE OpenBook Ultra?
No, the NYSE Imbalance feed is not as latency critical or bandwidth sensitive as NYSE OpenBook
Ultra as a result the feed uses standard NYSE Symbology.
Over how many channels is the Imbalance data distributed?
Since the Imbalance feed is a lightweight product, the data is distributed over a single production
multicast group for all symbols.