How do I sign-up to receive the NYSE MKT Order Imbalance feed?
Clients interested in the NYSE MKT Order Imbalance data feed should contact their Market Data Account Manager or NYSE Technologies sales executive, and will then be asked to fill out proper exhibits declaring usage.
Is the NYSE MKT Order Imbalance product offered seperately from NYSE MKT OpenBook?
Yes, the NYSE MKT Order Imbalance product is now offered as a separate feed from the NYSE MKT OpenBook package.
Are regulatory closing imbalances that are published to CTA and over NYSE Alerts included in this feed?
Yes, regulatory (Rule 123c) closing imbalances will be disseminated over the NYSE MKT Order Imbalance feed. Regulatory imbalances are identified through the use of the "Regulatory Imbalance Indicator" field.
Are there situations where I will not receive a NYSE MKT Order Imbalance mssage for a symbol?
Yes, Order Imbalance messages will not be published in the following situations:
1. If the NYSE MKT last sale price, paired quantity and imbalance quantity are the same as the previous calculation, no message will be generated.
2. If there is no Last Sale Price (for example, Trading Halted), a single Closing Paired/Imbalance message with zero is published.
3. If there is paired quantity but no imbalance quantity, the Closing Paired/Imbalance message will be published with paired quantity and paired number of orders, as well as zero imbalance quantity.
Do you offer intraday testing?
Yes, testing is available Monday through Friday from 9am to 5pm in the UAT testing environment and also on Tuesday and Thursday nights between 7:00pm to 9pm.
Is history available for this feed?
Yes, NYSE MKT Order Imbalance FTP files will be produced nightly. History is available from 7/1/08 onwards. Imbalances calculated with the new processing will be included in the same nightly file.
Is this feed available over TCP/IP or MULTICAST?
NYSE MKT Order Imbalances production, UAT, testing and retransmission data is available over multicast only via a SFTI® connectivity. Retransmission requests are sent to customers via TCP/IP.
How much capacity do I need?
The capacity for this feed is very minimal. The maximum message rate is approximately 3000mps and requires 2Mb for the production feed, 0.2Mb for the retransmission feed. For updated capacity figures, visit our capacity pages at: http://www.nyxdata.com/capacity.
Over how many channels is this feed distributed?
Since the Order Imbalances feed is a lightweight product, the data is distributed over a single production multicast group for all symbols.
Are primary and secondary feeds synchronized?
Yes, the primary and secondary multicast feeds are synchronized so that the data and sequence numbers are identical.
Who would benefit from this product?
The details of excess buy/sell orders for a given security may be of most interest to buy-side, multi strategy firms. Firms can use this data to locate exactly where order imbalances - and thus, possible opportunities - are occurring to have a more accurate analysis on the security.