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NYSE introduces closing auction imbalance analysis tool

Kevin Tyrell
Head of NYSE Research
Glenda Castaneda-Dawkins
Manager, Research NYSE

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.

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

Key imbalance data elements 1

  • Imbalance: the volume of better-priced buy (sell) shares that cannot be paired with both at-priced and better-priced sell (buy) shares at the Imbalance Reference Price.
    • The Imbalance Reference Price is defined as NYSE Last Sale; bid price if last sale < bid price; offer price if last sale > offer price.
  • Paired Quantity: the volume of better-priced and at-priced buy shares that can be paired with better-priced and at-priced sell shares at the Imbalance Reference Price.
  • Continuous Book Clearing Price: the price at which all better-priced orders that are eligible to trade in an Auction on the Side of the Imbalance of such orders can be traded.

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