TAQ Order Imbalances

Historical Data

TAQ Order Imbalances

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.

Products

TAQ NYSE Order Imbalances

Historical data available as of 1 July 2008 - present.

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TAQ NYSE American Order Imbalances

Historical data available as of 1 Dec 2008 - present.

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TAQ NYSE Arca Order Imbalances

Historical data available as of 1 Jan 2018 - present.

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Resources

TAQ XDP Products Client Spec v2.3c

NYSE
Production June 17, 2019

NYSE American
Production June 3, 2019

NYSE Arca
Production July 1, 2019


Previous Specifications

Sample Data

Fees

Academics