NYSE Auction Imbalance Data Schemas

Opening and Closing Auction Imbalance data for the NYSE Exchange

NYSE_IMB

Database includes the following Tables:

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

NYSE_IMB - IND

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

NYSE_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
CLEARING_PRICE	double	Price at which the order imbalance would be reduced to 0, disregarding auction price limits. Indicates how far the market would have to move to negate the auction imbalance.
CLEARING_PRICE_AUCTION_BOOK	double	Price at which the imbalance in the auction book (i.e. excluding orders in the continuous book) would be reduced to 0, disregarding auction price limits
SSR_FILING_PRICE	double	Price at which short selling orders will participate in an auction (if higher than their limit price), for securities subject to a short selling restriction
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
UNPAIRED_SIDE	string[1]	During a closing auction on NYSE, indicates if one side of the orderbook has excess executable orders at the imbalance reference price.
UNPAIRED_VOLUME	long	For NYSE closing auctions, indicates the volume of excess orders on the side of the imbalance that are priced at or better than the imbalance reference price.
COND	string[1]	Condition code
AUCTION_TYPE	string[1]	Type of auction from which an indicative auction price / auction imbalance originates.
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.