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:
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