NYSE Order Imbalances Client Specification
NYSE Order Imbalances QRC
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 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