March 15, 2023
The NYSE Closing Auction remains the largest liquidity event in the equities market, with an average notional value traded of more than $18bn per day during the full year of 2022. Closing Auction informational imbalance messages (often referred to as the closing imbalance feed) provide traders with crucial information in the minutes leading up to the close. These data provide users with vital details about the Closing Auction order flow and the potential closing price of a security.
To enhance visibility and understanding of the Closing Auction process, NYSE is introducing a graphical interface with a trailing three months of closing imbalance feed historical data for the 1,000 largest daily Closing Auctions.
NYSE historical imbalance auction data categorized by symbol and trade date are available here and below.
Enter a symbol and date below to see the imbalance data:
Once a symbol and date are entered, three charts will be displayed as in the static example below for IBM on 03/02/2023:
In this analysis, we highlight the dollar cost saving for imbalance-offsetting auction orders and the likelihood of such orders being executed at favorable auction price.
In this post, we dive into the NYSE Closing Auction and provide an inside view into closing auction order entry time dynamics and performance.
In this analysis, we leverage NYSE’s rich auction imbalance data to better understand market impact in and around the closing auction and provide insights on relationships among order sizes, market impact, and trading costs.