TAQ Order Imbalances data provides publication on the buy and sell imbalances sent at specified intervals during auctions throughout the trading day for all listed securities. The TAQ Imbalances data provides the opening and closing imbalances at specified intervals throughout the trading day for all listed securities, which greatly enhances market transparency and improves the quality of opening and closing auctions.
Historical data available as of 1 Jul 2008 – present.
Historical data available as of 1 Dec 2008 – present.
Historical data available as of 2 Jan 2018 - present (Further historical data available in the TAQ NYSE ArcaBook format from 2 Aug 2004 - 1 May 2015).