# NYSE Auction Imbalance Data Schemas

Opening and Closing Auction Imbalance data for the NYSE Exchange




## NYSE_IMB

Database includes the following tick types:

* 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. |