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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:
News & Updates
On July 30, 2018, the Arca BBO, Trades and Imbalances feeds will transition in a hot cut to the latest v2.1 formats.
TAQ NYSE Order Imbalances
Historical Data is available from 1 Jul 2008 - present.
TAQ NYSE American Order Imbalances
Historical Data is available from 1 Dec 2008 - present.
TAQ NYSE Arca Order Imbalances
Historical Data is available from 30 July July 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 launch targeted for July 30, 2018
TAQ NYSE ARCA TRADES CLIENT SPEC (New v2.1 spec)
