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.

The TAQ Order Imbalances data is available for:

  • NYSE
  • NYSE American
  • NYSE Arca

TAQ NYSE Order Imbalances

Historical Data is available from 1 July 2008 - present.

TAQ NYSE American Order Imbalances

Historical Data is available from 1 December 2008 - present.

TAQ NYSE Arca Order Imbalances

Historical Data is available from 2 January 2018 - present.

Resources

NYSE

Production started on October 23, 2017
TAQ XDP PRODUCTS CLIENT SPEC V2.1

NYSE American

Production started on July 24, 2017
TAQ XDP PRODUCTS CLIENT SPEC V2.1

NYSE Arca

Production started on July 30, 2018
TAQ XDP PRODUCTS CLIENT SPEC V2.1

Production starting March 2019 for all markets

TAQ XDP Products Client Spec v2.2

Previous Specifications

Sample Data

Fees

Academics