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Is the NYSE Order Imbalances product offered separately from OpenBook?
Yes,the imbalance datafeed is now offered separately from OpenBook at an access fee cost of $500/month
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Are regulatory closing imbalances that are published to CT and over NYSE Alerts included in
this feed?
Yes, regulatory (Rule 123c) closing imbalances will be disseminated over the NYSE Imbalance feed.
Regulatory imbalances are identified through the use of the “Regulatory Imbalance Indicator” field.
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Are there situations where I will not receive an imbalance message for a symbol?
Yes, Imbalance messages will not be published in the situations listed below:
1. Since the NYSE Imbalance messages are “delta-based”, if there is no change to the previous
imbalance message no message will be published.
2. If there is no Last Sale Price (e.g., Trading Halted, IPO on the Opening Imbalance), the NYSE
Imbalance feed will generate a single Opening or Closing Paired/Imbalance message with
zero: last sale price, paired quantity, and imbalance quantity.
3. If there is a Last Sale price, but there are no orders, a single Opening or Closing
Paired/Imbalance message with the last sale price and zero: paired quantity, and imbalance
quantity will be generated.
4. If there is paired quantity, but no imbalance quantity, an Opening or Closing Paired/Imbalance
message with paired quantity and zero imbalance quantity will be generated.
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Will I need Symbol index mapping for this feed like NYSE OpenBook Ultra?
No, the NYSE Imbalance feed is not as latency critical or bandwidth sensitive as NYSE OpenBook
Ultra as a result the feed uses standard NYSE Symbology.
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Over how many channels is the Imbalance data distributed?
Since the Imbalance feed is a lightweight product, the data is distributed over a single production
multicast group for all symbols.