Nasdaq Auction Imbalance Data Schemas#

Opening and Closing Auction Imbalance data for the Nasdaq Exchange

NASDAQ_IMB#

Database includes the following Tables:

IND - Indicative pricing, e.g. indicative auction prices and imbalance

NASDAQ_IMB - IND#

Indicative pricing, e.g. indicative auction prices and imbalance

NASDAQ_IMB - IND Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
EXCH_TIME	nsectime	Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp
REF_PRICE	double	Reference price according to which the auction price limits are set - usually the mid of the BBO, or the last sale price
NEAR_PRICE	double	Theoretical auction price, taking into account orders in both the auction book and the continuous book
FAR_PRICE	double	Theoretical auction price, taking into account only MOC/LOC orders (i.e. excluding orders in the continuous book)
SIZE	long	TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross
IMB_SIDE	string[1]	Indicates if one side of the orderbook has excess executable orders during an auction phase.
IMB_VOLUME	long	Size of an auction imbalance, i.e. the excess volume of orders on the side indicated by IMB_SIDE
AUCTION_TYPE	string[1]	Type of auction from which an indicative auction price / auction imbalance originates.
PRICE_VARIATION_IND	string[1]	Indicates the difference between the indicative auction price (Near price) and the instrument’s reference price in the continuous book.
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.