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NYSE introduces the enhanced NYSE Auction tool with Opening Imbalance History

Glenda Castaneda-Dawkins
Manager, Research, NYSE

Published
May 6, 2024

The NYSE Opening Auction offers an opportunity for price discovery by aggregating substantial liquidity at the start of the NYSE’s trading day. For the first four months of 2024, the NYSE opening auction averaged 44 million shares and $2.4 billion traded per day. The information in the opening imbalance message such as paired and imbalance quantity, and book clearing price offers a view into the liquidity opportunities at the opening auction.

NYSE enhanced the NYSE Auction graphical interface to include trailing three months of history of the opening imbalance messages, in addition to the previously available closing auction data. Open imbalance messages are disseminated daily every second starting at 8 A.M. The enhanced graphical interface improves the transparency and understanding of the liquidity opportunities that were available in completed Opening Auctions by displaying imbalance quantity, paired quantity and auction book clearing prices starting with 9:25 A.M. imbalance messages.

Historical imbalance data

The NYSE Auction tool permits retrieval of Opening Imbalance history by symbol and trade date, which is 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 ECL on 02/28/2024:

  • The chart to the left shows the average imbalance quantity during each minute starting at 9:25 A.M. and ending before the opening auction time (9:31:51 A.M for symbol ECL on this day).
    • The average imbalance quantity between 09:29 and 09:30 was a buy imbalance of 2,603 shares
  • The middle chart shows the average paired quantity during each minute starting at 9:25 A.M. and ending before the opening auction (9:31:51 A.M for symbol ECL on this day).
    • The average paired quantity between 09:29 and 09:30 was 18,348.
  • The chart to the right shows the average book clearing price each minute starting at 9:25 A.M. until the security opens (9:31:51 A.M for symbol ECL on this day).
    • The average continuous book clearing price between 9:25 A.M. and ending before the security opens (9:31:51 A.M for symbol ECL on this day), was $223.10.

Key imbalance data elements

  • 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 the prior day official Closing Price before 9:30 and the consolidated Last Sale if available starting at 9:30 AM
  • 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.

The Open Imbalance graphical interface is updated each morning shortly after the open auction completes. Coupled with the closing auction data, NYSE now provides superior insight into price and liquidity development in its auctions to all investors with access to the Internet.

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