NYSE introduces closing auction imbalance analysis tool
Authors
Kevin Tyrell
Head of NYSE Research
Glenda Castaneda-Dawkins
Manager, Research NYSE
The NYSE Closing Auction remains the largest liquidity event in the equities market, with an average notional value traded of more than $18bn per day during the full year of 2022. Closing Auction informational imbalance messages (often referred to as the closing imbalance feed) provide traders with crucial information in the minutes leading up to the close. These data provide users with vital details about the Closing Auction order flow and the potential closing price of a security.
To enhance visibility and understanding of the Closing Auction process, NYSE is introducing a graphical interface with a trailing three months of closing imbalance feed historical data for the 1,000 largest daily Closing Auctions.
Historical imbalance data
NYSE historical imbalance auction data categorized by symbol and trade date are available here and below.
Enter a symbol and date below to see the imbalance data:
Once a symbol and date are entered, three charts will be displayed as in the static example below for IBM on 03/02/2023:
The chart to the left shows the average imbalance quantity during each minute starting at 3:55 P.M. and ending at 4 P.M.
- For example, the average imbalance quantity between 15:58 and 15:59 was 64,472
The middle chart shows the average paired quantity during each minute starting at 3:55 P.M. and ending at 4 P.M.
- For example, the average paired quantity between 15:58 and 15:59 was 399,978
The chart to the right shows the average book clearing price each minute starting at 3:55 P.M. and ending at 4 P.M., along with the eventual Closing Auction price
- For example, the average continuous book clearing price between 15:58 and 15:59 was $129.15
