March 15, 2023
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.
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:
In this analysis, we leverage NYSE’s rich auction imbalance data to better understand market impact in and around the closing auction and provide insights on relationships among order sizes, market impact, and trading costs.
A recent article in the Wall Street Journal pointed out that much of the 2023 market rally in the S&P 500 Index has been focused in eight mega-cap technology stocks. To further examine this trend, we look at some measures that could indicate whether or not retail is driving the trading, and at possible signs of sector rotation among retail investors.
Activity in NYSE’s Retail Price Improvement Program for stocks not listed on the NYSE has shown strong growth since its launch last December. Tape B activity recently peaked at more than two million shares.