The Order Imbalances feed will disseminate two message types for opening and closing imbalances. Both sets of messages will include the security symbols, whether imbalances were on the bid or ask side, the paired quantity in shares and the imbalance quantity in shares, with millisecond timestamps. The closing imbalance message also includes the last sale price at market close, whereas the opening imbalance message includes the previous trading day's last sale price.
Opening imbalance messages
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails