TAQNYSEORDERIMBALANCE–QUICK.PDFVIP

TAQ NYSE ORDER IMBALANCE – QUICK REFERENCE CARD TAQ NYSE Order Imbalance provides a capture of the NYSE Order Imbalance data feed. The NYSE Imbalance data feed publishes Opening and Closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities. The NYSE Order Imbalance feed greatly enhances the transparency of our market and improves the quality of our opening and closing auctions. FTP INFORMATION File Name TAQ NYSE Order Imbalance History Available Binary and Pipe-delimited Files: June 1st, 2008 to present FTP Server To access the data, login to : Binary file: /EQY_US_NYSE_REF_IMBALANCES/EQY_US_NYSE_REF_IMBALANCES_YYYY/EQY_U S_NYSE_REF_IMBALANCES_YYYYMM/ EQY_US_NYSE_REF_IMBALANCES_YYYYMMDD.zip Pipe-delimited File: /EQY_US_NYSE_REF_IMBALANCES_PD/EQY_US_NYSE_REF_IMBALANCES_PD_YYYY /EQY_US_NYSE_REF_IMBALANCES_PD_YYYYMM/ EQY_US_NYSE_REF_IMBALANCES_PD_YYYYMMDD.zip PUBLICATION PERIOD BY MESSAGE TYPE FIELD NAME MSGTYPE DESCRIPTION NYSE Opening Imbalance 240 ■ Opening Imbalance messages are disseminated every Message 5 minutes between 8:30am EST and 9:00am EST. ■ Opening Imbalance messages are disseminated every 1 minute between 9:00am EST and 9:20am EST. ■ Opening Imbalance messages are disseminated every 15 seconds between 9:20am EST and 9:35am EST. NYSE Closing Imbalance 241 ■ Closing Imbalance messages are disseminated every 5 Message seconds between 3:45pm EST and 4:00pm EST (or until Market close on early closing days).